Recent Works

You will find below a carefully selected list of articles and in-progress working papers, covering a selection of some of the most recent advances in the current systemic risk literature.

Some Selected Recent Articles on Systemic Risk:

  1. Acemoglu D., A. Ozdaglar and A. Tahbaz-Salehi, (2015), “Systemic Risk and Stability in Financial Networks”, American Economic Review, 105(2), 564–608.
    Abstract / Where to find it
  2. Acemoglu D., A. Ozdaglar and A. Tahbaz-Salehi, (2015), “Networks, Shocks, and Systemic Risk”, NBER Working Paper #20931, 38 pages.
    Abstract / Where to find it
  3. Acharya V., and A. Bisin, (2014), “Counterparty Risk Externality: Centralized versus Over-the-counter Markets”, Journal of Economic Theory, 149(1), 153-182.
    Abstract / Where to find it
  4. Acharya V., C. Brownlees, R. Engle, F. Farazmand and M. Richardson, (2013), “Measuring Systemic Risk”, in Managing and Measuring Risk: Emerging Global Standards and Regulation after the Financial Crisis, Roggi-Altman (eds.), World Scientific Series in Finance, 65-98.
    Cover / Where to find it
  5. Acharya V., R. Engle and D. Pierret, (2014), “Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights”, Journal of Monetary Economics, 65, 36–53.
    Abstract / Where to find it
  6. Acharya V. and O. Merrouche, (2013), “Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis”, Review of Finance, 17(1), 107–160.
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  7. Acharya V. and N. Mora, (2015), “Crisis of Banks as Liquidity Providers”, Journal of Finance, 70(1), 1-43.
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  8. Acharya V. and T. Oncu, (2013), “A Proposal for the Resolution of Systemically Important Assets and Liabilities: The Case of the Repo Market”, International Journal of Central Banking, January 2013 issue, 59 pages.
    Abstract / Where to find it
  9. Acharya V., T. Philippon, M. Richardson , (2016), “Measuring Systemic Risk for Insurance Companies”, in The Economics, Regulation, and Systemic Risk of Insurance Markets, Hufeld-Koijen-Thimann (eds.), Oxford University Press, 100-123.
    Cover / Where to find it
  10. Acharya V., R. Engle and M. Richardson, (2012), “Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks”, American Economic Review, 102(3), 59-64.
    Abstract / Where to find it
  11. Acharya V. and S. Steffen, (2013), “Analyzing Systemic Risk of the European Banking Sector”, in Handbook on Systemic Risk, Fouque-Langsam (eds.), Cambridge University Press, 247-282.
    Abstract / Where to find it
  12. Acharya V., and A. Thakor, (2015), “The Dark Side of Liquidity Creation: Leverage and Systemic Risk”, Working Paper No. 445/2015, European Corporate Governance Institute (ECGI), 58 pages.
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  13. Adrian T. and M. Brunnermeier, (2016), “CoVaR”, American Economic Review, 106(7), 1705-1741.
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  14. Adrian T. and N. Boyarchenko, (2013), “Liquidity Policies and Systemic Risk”, FRB of New York Staff Report No. 661, 44 pages.
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  15. Adrian T. and H. Shin, (2014), "Procyclical Leverage and Value-at-Risk", Review of Financial Studies, 27(2), 373-403.
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  16. Adrian T., D. Covitz and N. Liang, (2015), "Financial Stability Monitoring", Annual Review of Financial Economics, 7, 357-395.
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  17. Adrian T., Z. Pozsar, A. Ashcraft and H. Boesky, (2013), "Shadow Banking", Economic Policy Review, 19(2), 1-16.
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  18. Adrian T., M. Brunnermeier and H. Nguyen, (2013), "Hedge Fund Tail Risk", Chapter in NBER book Quantifying Systemic Risk, Haubrich-Lo (eds.), University of Chicago Press 155-172.
    Abstract / Where to find it
  19. Adrian T., P. Colla, and H.S. Shin, (2013), "Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09", NBER Macroeconomics Annual 2012, Vol. 27, Acemoglu-Parker-Woodford (eds.), 159-214.
    Abstract / Where to find it
  20. Agarwal S., D. Lucca, A. Serru and F. Trebbi, (2014), “Inconsistent Regulators: Evidence from Banking”, Quarterly Journal of Economics, 129(2), 889-938.
    Abstract / Where to find it
  21. Aikman D., M. Kiley, S. Jung Lee, M. Palumbo and M. Warusawitharana, (2015), “Mapping Heat in the U.S. Financial System”, Working Paper #36/WP/2012, Board of Governors of the Federal Reserve System, Washington, 72 pages.
    Abstract / Where to find it
  22. Aiyar S., C. Calomiris and T. Wieladek, (2014), “Does Macro-Prudential Regulation Leak? Evidence from a UK Policy Experiment”, Journal of Money, Credit and Banking, 46(s1), 181–214.
    Abstract / Where to find it
  23. Aizenman J., (2016), “Measuring Systemic Risk Contribution of International Mutual Funds”, ADBI Working Paper Series #594, 16 pages.
    Abstract / Where to find it
  24. Aldasoro I. and I. Alves, (2015), “Multiplex Interbank Networks and Systemic Importance: An Application to European Data”, SAFE Working Paper #102, House of Finance, SAFE Goethe University of Frankfurt, 45 pages.
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  25. Allen, F. and E. Carletti, (2013), “Systemic Risk from Real Estate and Macro-prudential Regulation”, International Journal of Banking, Accounting and Finance, 5(1/2), 28–48.
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  26. Alter A., B. Craig and P. Raupach, (2015), “Centrality-based Capital Allocations”, Working paper, Federal Reserve Bank of Cleveland, 40 pages.
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  27. Amini H. and A. Minca, (2014), “Inhomogeneous Financial Networks and Contagious Links”, SSRN Working Paper, 28 pages.
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  28. Amini H., D. Filipovic and A. Minca, (2014), “To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting”, Swiss Finance Institute Research Paper #14-63 , 18 pages.
    Abstract / Where to find it
  29. Amini H., A. Minca and A. Sulem, (2014), “Control of Interbank Contagion under Partial Information”, Working Paper, 26 pages.
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  30. Amini H., D. Filipovic and A. Minca, (2014), “Systemic Risk with Central Counterparty Clearing”, Swiss Finance Institute Research Paper #13-34 , 32 pages.
    Abstract / Where to find it
  31. Anand K., S. Brennan, P. Gai, S. Kapadia and M. Willison, (2013), “A Network Model of Financial System Resilience”, Journal of Economic Behavior and Organization, 85, 219-235.
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  32. Anand K., P. Gai, S. and M. Marsili, (2012), “Rollover Risk, Network Structure and Systemic Financial Crises”, Journal of Economic Dynamics and Control, 36(8), 1088-1100.
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  33. Anand K., C. Gauthier and M. Souissi, (2015), “Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach”, Working Paper #2015-32, Bank of Canada.
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  34. Anand K. and M. Marsili (2013), “Financial Complexity and Systemic Stability in Trading Markets”, Chap. 17 in Lessons from the Financial Crisis, Arthur Berd (eds.), Risk Books, 335-372.
    Cover / Where to find it
  35. Anand A., M. Rosenstock and M. Trebilcock (2014), “Institutional Design and the New Systemic Risk in Banking Crises”, Working Paper, University of Toronto, 42 pages.
    Abstract / Where to find it
  36. Anghelache G, and D. Oanea, (2016), “Romanian Commercial Banks' Systemic Risk and Its Determinants: A CoVAR Approach”, International Journal of Academic Research in Accounting, Finance and Management Sciences, 6(3), 96-109.
    Abstract / Where to find it
  37. Anghelache C, and B. Gyorgy, (2016), “Theoretical aspects regarding systemic risk and managerial decisions during the crisis”, Romanian Statistical Review - Supplement # 12 , 7 pages.
    Abstract / Where to find it
  38. Anokhina M., H. Penikas, and V. Petrov, (2014), “Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia”, DEM Working Paper #85, 26 pages.
    Abstract / Where to find it
  39. Aoki K. and K. Nikolov, (2012), “Bubbles, banks and financial stability”, ECB Working Paper #1495, 52 pages.
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  40. Armakola A., R. Douady, J.-P. Laurent and F. Molteni, (2016), “Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses”, Working Paper, 43 pages.
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  41. Arsov I., E. Canetti, L. Kodres and S. Mitra, (2013), “"Near-Coincident" Indicators of Systemic Stress”, IMF Working Paper #13/115, 33 pages.
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  42. Banque de France, (2014), “Macroprudential Policies Implemention and Interactions”, Financial Stability Review, 18, 256 pages.
    Abstract / Where to find it
  43. Banulescu D., Ch. Hurlin, J. Leymarie and O. Scaillet (2016), “Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures”, Working Paper, 27 pages.
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  44. Banulescu G.-D. and E.-I. Dumitrescu, (2012), “How to Identify the SIFI? A Component Expected Shortfall (CES) Approach to Systemic Risk”, forthcoming in Journal of Banking and Finance, 30 pages.
    Abstract / Where to find it
  45. Basel Committee on Banking Supervision, (2013a), “Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools”, Bank for International Settlements Report, 75 pages.
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  46. Basel Committee on Banking Supervision, (2013b), “Global Systemically Important Banks: Updated Assessment Methodology and the Higher Loss Absorbency Requirement”, Bank for International Settlements Report, 23 pages.
    Abstract / Where to find it
  47. Basel Committee on Banking Supervision, (2014a), “Basel III: Leverage Ratio Framework and Disclosure Requirements”, Bank for International Settlements Report, 23 pages.
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  48. Basel Committee on Banking Supervision, (2014c), “Supervisory Framework for Measuring and Controlling Large Exposures - Final Standard”, Bank for International Settlements Report, 21 pages.
    Abstract / Where to find it
  49. Basel Committee on Banking Supervision and Board of the International organization of Securities Commissions, (2013), “Margin Requirements for Non-centrally Cleared Derivatives”, Bank for International Settlements Report, 34 pages.
    Abstract / Where to find it
  50. Benoit S., G. Colletaz, C. Hurlin and C. Pérignon, (2013), “A Theoretical and Empirical Comparison of Systemic Risk Measures”, Working Paper #FIN-2014-1030, HEC Paris, 47 pages.
    Abstract / Where to find it
  51. Benoit S., J-E. Colliard, C. Hurlin and C. Perignon, (2015), “Where the Risks Lie: A Survey on Systemic Risk”, HEC Paris Research Paper No. FIN-2015-1088 , 57 pages.
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  52. Benoit S., C. Hurlin and C. Pérignon, (2015), “Implied Risk Exposures”, Forthcoming in, Review of Finance, 53 pages.
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  53. Benoit S., C. Hurlin and C. Pérignon, (2016), “Transparent Systemic-Risk Scoring”, HEC Paris Research Paper No. FIN-2013-1005 , 38 pages.
    Abstract / Where to find it
  54. Bernales A. and M. di Filippo, (2015), “The Information Contained in Money Market Interactions: Unsecured vs. Collateralized Lending”, Maintaining Financial Stability: Holding a Tiger by the Tail, Federal Reserve Bank of Atlanta conference, 15 pages.
    Abstract / Where to find it
  55. Bernanke B., (2013), “Stress Testing Banks: What Have We Learned?”, Maintaining Financial Stability: Holding a Tiger by the Tail, Federal Reserve Bank of Atlanta conference, 15 pages.
    Abstract / Where to find it
  56. Bernard C., E. Brechmann and C. Czado, (2012), "Statistical Assessments of Systemic Risk Measures”, Chap. 6 in Handbook on Systemic Risk, Fouque-Langsam (eds.), Cambridge University Press, 165-179.
    Abstract / Where to find it
  57. Betz F., N. Hautsch, T. Peltonen and M. Schienle, (2013), “Measuring Systemic Risk Contributions of European Banks”, ECB Financial Stability Review, 6, 71-73.
    Abstract / Where to find it
  58. Biais B., F. Heider and M. Hoerova, (2014), “Risk-sharing or Risk-taking? An Incentive Theory of Counterparty Risk, Clearing and Margins”, Working paper, 60 pages.
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  59. Bianchi J. and E. Mendoza, (2013), “Optimal Time-Consistent Macroprudential Policy”, NBER Working Paper 19704, 61 pages.
    Abstract / Where to find it
  60. Billio M., M. Caporin, R. Panzica and L. Pelizzon, (2015), “Network Connectivity and Systematic Risk”, Working Paper, University Ca' Foscari Venezia, 43 pages.
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  61. Billio M., M. Getmansky, D. Gray, A. Lo, R. Merton and L. Pelizzon, (2014), “Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks”, SYRTO Working paper #8, 35 pages.
    Abstract / Where to find it
  62. Billio M., M. Getmansky, A. Lo and L. Pelizzon, (2012), “Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors”, Journal of Financial Economics, 104(3), 535-559.
    Abstract / Where to find it
  63. Black L., R. Correa, X. Huang and H. Zou, (2016), “The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises”, Journal of Banking & Finance, 63, 107-125.
    Abstract / Where to find it
  64. Boissel C, F. Derrien, E. Örs and D. Thesmar, (2014), “Systemic Risk in Clearing Houses: Evidence from the European Repo Market”, HEC Finance Department Working Paper, 52 pages.
    Abstract / Where to find it
  65. Borovkova S. and H. Lalaoui El Mouttalibi, (2013), “Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach”, Working Paper, VU University Amsterdam, 56 pages.
    Abstract / Where to find it
  66. Boucher C., J. Daníelsson, P. Kouontchou and B. Maillet, (2014), “Risk Model-at-Risk”, Journal of Banking and Finance , 44, 72-92.
    Abstract / Where to find it
  67. Boucher C., P. Kouontchou, B. Maillet and O. Scaillet, (2013), “The Co-CoVaR and some other Fair Systemic Risk Measures with Model Risk Corrections”, Work in progress, 40 pages.
    Abstract / Where to find it
  68. Bowe M., O. Kolokolova and M.J. Michalski, (2016), “Systemic Risk, Interbank Market Contagion, and the Lender of Last Resort Function”, SSRN Working Paper, 39 pages.
    Abstract / Where to find it
  69. Boyle P. and J. Kim, (2012), “Designing a Counter-Cyclical Insurance Program for Systemic Risk”, Journal of Risk and Insurance, 79(4), 963-993.
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  70. Brownlees C., E. Nualart, Y. Sun, (2014), “Realized Networks”, Working Paper, Barcelona GSE, 63 pages.
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  71. Brownlees C. and R. Engle, (2012), “Volatility, Correlation and Tails for Systemic Risk Measurement”, Working Paper, New-York University, 37 pages.
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  72. Brunnermeier M. and P. Cheridito, (2013), “Measuring and Allocating Systemic Risk”, Working Paper, Princeton University, 20 pages.
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  73. Brunnermeier M. and A. Krishnamurthy, (2013), "Risk Topography: Systemic Risk and Macro Modeling" University of Chicago Press, 288 pages.
    Cover / Where to find it
  74. Busse M., M. Dacorogna and M. Kratz, (2013), “The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio”, ESSEC Working Paper #1321, 19 pages.
    Abstract / Where to find it
  75. Butzbach O., (2016), “Systemic Risk, Macro-Prudential Regulation and Organizational Diversity in Banking”, Policy and Society #1321, in Press, Corrected Proof.
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  76. Calabrese R. and P. Giudici, (2015), “Estimating Bank Default with Generalised Extreme Value Regression Models”, Journal of the Operational Research Society (2015), 1-10.
    Abstract / Where to find it
  77. Capponi A. and W.A. Cheng, (2015), “The Incentives behind Clearinghouse Requirements”, SSRN Working Paper #2669304, 43 pages.
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  78. Carmona R., J.-P. Fouque and L.-H. Sun, (2013), “Illiquidity and Insolvency: A Double Cascade Model of Financial Crises”, forthcoming in Communications in Mathematical Sciences, 23 pages.
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  79. Cellai D., H. Cheng, T.R. Hurd and Q. Shao, (2014), “Illiquidity and Insolvency: A Double Cascade Model of Financial Crises”, SSRN Working Paper, 28 pages.
    Abstract / Where to find it
  80. Cerchiello P. and P. Giudici, (2015), “Conditional Graphical Models for Systemic Risk Estimation”, Expert Systems with Applications, published online on September 8, 2015.
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  81. Chan‐Lau J., C. Chuang, J. Duan, and W. Sun, (2016), “Banking Network and Systemic Risk via Forward‐Looking Partial Default Correlations”, Working Paper, 23 pages.
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  82. Chen J., M. Flood and R. Sowers, (2015), “Measuring the Unmeasurable: an Application of Uncertainty Quantification to financial Portfolios”, Working Paper #2015-19, Office of Financial Research, 23 pages.
    Abstract / Where to find it
  83. Chen K.H. and K. Khashanah, (2016), “Analysis of Systemic Risk: A Vine Copula-based ARMA-GARCH Model”, Engineering Letters, 24(3), 268-273.
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  84. Cont R., D. Duffie, P. Glasserman, C. Rogers and F. Vega-Redondo, (2016), “Preface to the Special Issue on Systemic Risk: Models and Mechanisms”, Operations Research, 64(5), 1053-1055.
    Abstract / Where to find it
  85. Cont R, A. Moussa and E.B. Santos, (2013), “Network Structure and Systemic Risk in Banking Systems”, in Handbook of Systemic Risk, Fouque-Langsam (eds.), Cambridge University Press, 327-368.
    Abstract / Where to find it
  86. Cooper R. and K. Nikolov, (2013), “Government Debt and Banking Fragility: the Spreading of Strategic Uncertainty”, NBER Working Paper #19278, 32 pages.
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  87. Corradin S., S. Manganelli and B. Schwaab, (2011), “New Methodologies for Systemic Risk Measurement”, Research Bulletin #12, European Central Bank, 19 pages.
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  88. Corvasce G., (2013), "Measuring Systemic Risk: An International Framework", Working Paper, Society of Financial Studies, 68 pages.
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  89. Craig B., D. Salakhovaz and M. Saldiasx (2014), “Payment Delays and Contagion”, Working Paper, Banque de France, 41 pages.
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  90. Daníelsson J., K. James, M. Valenzuela and I. Zer, (2014), “Model Risk of Risk Models”, SRC Working Paper, 32 pages.
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  91. Darolles S., S. Dubecq and C. Gourieroux, (2013),"Contagion Analysis in the Banking Sector", Working paper, 37 pages.
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  92. de Bandt O., J.-C. Héam, C. Labonne and S. Tavolaro, (2015), “La mesure du risque systémique après la crise financière”, Revue Economique 3(66), 481-500.
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  93. de Bodt E., F. Lobez and A. Schwienbacher, (2013), "Did the Euro Increase Systemic Risk?", Working Paper, 39 pages.
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  94. Derrien F. and A. Kecskès, (2013), “The Real Effects of Financial Shocks: Evidence from Exogenous Changes in Analyst Coverage”, The Journal of Finance, 68(4), 1407-1440.
    Abstract / Where to find it
  95. de Souza S.R.S., T.C. Silva, B.M. Tabak and S.M. Guerra, (2016), “Evaluating Systemic Risk Using Bank Default Probabilities in Financial Networks”, Journal of Economic Dynamics and Control 66(2016), 54-75.
    Abstract / Where to find it
  96. Detering N., T. Meyer-Brandis, K. Panagiotou and D. Ritter, (2016), “Managing Systemic Risk in Financial Networks”, Working Paper arXiv, 28 pages.
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  97. Döring B., T. Hartmann-Wendels and C. Wewel, (2014), “Systemic Risk Measures and their Viability for Banking Supervision”, Working Paper, Department of Bank Management, University of Cologne, 50 pages.
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  98. Duarte D., K. Lee and G. Schwenkler, (2015), “The Systemic Effects of Benchmarking”, SSRN Working Paper #2646791, 52 pages.
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  99. Duarte F. and T. Eisenbach, (2013), “Fire-Sale Spillovers and Systemic Risk”, Federal Reserve Bank of New York Staff Reports #645, 46 pages.
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  100. Duffie D., M. Scheicher and G. Vuillemey, (2014), “Central Clearing and Collateral Demand”, Working Paper #171, Rock Center for Corporate Governance, Stanford University, 39 pages.
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  101. Duffie D., (2013), “Replumbing Our Financial System: Uneven Progress”, International Journal of Central Banking, 9(1), 251-280.
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  102. Duffie D., (2013), “Systemic Risk Exposures: A 10-by-10-by-10 Approach”, forthcoming in Risk Topography: Systemic Risk and Macro Modeling, Brunnermeier-Krishnamurthy (eds.), University of Chicago Press, 11 pages.
    Abstract / Where to find it
  103. Dvorak M., M. Gronychova, V. Hausenblas and Z. Komarkova, (2016), “Could the Czech Insurance Sector Be a Source of Systemic Risk?”, CNB Financial Stability Report, 116-126.
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  104. Ellinas C., N. Allan and N. Cantle, (2015), “How Resilient Is Your Organization? From Local Failures to Systemic Risk”, 2015 Enterprise Risk Management Symposiumy, National Harbor, Maryland, 19 pages.
    Abstract / Where to find it
  105. Emm E. and U. Ince, (2011), “Systemic Risk and Competition in OTC Derivatives Dealing: Evidence from Client Failures”, Managerial Finance, 37(12), 1161-1189.
    Abstract / Where to find it
  106. Engle R., E. Jondeau and M. Rockinger, (2014), “Systemic Risk in Europe”, forthcoming in Review of Finance, 55 pages.
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  107. Engle R. and E. Siriwardane, (2014), “Structural GARCH: The Volatility-Leverage Connection”, Working Paper, 65 pages.
    Abstract / Where to find it
  108. Feltus C., Y. Naudet and N. Mayer, (2016), “Towards a Systemic Approach for Information Security Risk Management”, Working Paper, 10 pages.
    Abstract / Where to find it
  109. Feng L., B. Li, B. Podobnik and Z. Zheng, (2012), “Changes in Cross-Correlations as an Indicator for Systemic Risk”, Scientific Reports, 2(888), 1-8.
    Abstract / Where to find it
  110. Ferrari S. and M. Pirovano, (2015), “Early Warning Indicators for Banking Crises: a Conditional Moments Approach”, MPRA Paper #62406, National Bank of Belgium, 24 pages.
    Abstract / Where to find it
  111. Ferrari S., M. Pirovano and P. Kaltwasser, (2016), “The Impact of Sectoral Macroprudential Capital Requirements on Mortgage Loan Pricing : Evidence from the Belgian Risk weight add-on”, MPRA Paper #306, National Bank of Belgium, 30 pages.
    Abstract / Where to find it
  112. Flood M., P. Monin and L. Bandyopadhyay, (2015), Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures. Working Paper, Office of Financial Research, 37 pages.
    Abstract / Where to find it
  113. Gabbi G., G. Iori, S. Jafarey and J. Porter, (2015), “Financial Regulations and Bank Credit to the Real Economy”, Journal of Economic Dynamics and Control 50, 117–143.
    Abstract / Where to find it
  114. Gallegati M., D. Helbing, A. Mazloumian and G. Tedeschi, (2012), “Bankruptcy Cascades in Interbank Markets”, Plos One, 7(12), 1-10.
    Abstract / Where to find it
  115. Giudici P., L. Parisi and V. Felice, (2016), “Bail in or Bail out? The Atlante example from a systemic risk perspective”, DEM Working Paper ISSN: 2281-1346, 20 pages.
    Abstract / Where to find it
  116. Giudici, P. and A. Spelta, (2015), “Graphical Network Models for International Financial Flows”, Journal of Business and Economic Statistics, published online on March 11, 2015.
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  117. Georgiou T.T., R.S. Sandhu and A.R. Tannenbaum, (2016), “Ricci Curvature: An Economic Indicator for Market Fragility and Systemic Risk”, Science Advances 2(5), 11 pages.
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  118. Getmansky M., P. Lee and A. Lo, (2015), “Hedge Funds: A Dynamic Industry in Transition”, Annual Review of Financial Economics 7, 483-577.
    Abstract / Where to find it
  119. Getmansky M., G. Girardi and C. Lewis, (2016), “Interconnectedness in the CDS Market”, forthcoming in the Financial Analysts Journal, 15 pages.
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  120. Giesecke K., F. Longstaff, S. Schaefer and I. Strebulaev, (2014), “Macroeconomic Effects of Corporate Default Crisis: A Long-term Perspective”, Journal of Financial Economics, 111(2), 297-310.
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  121. Giesecke K., K. Spiliopoulos and R. Sowers, (2013), “Default Clustering in Large Portfolios: Typical Events”, The Annals of Applied Probability, 23(1), 348-385.
    Abstract / Where to find it
  122. Giglio S., (2012), “Credit Default Swap Spreads and Systemic Financial Risk”, Working Paper #12-45, University of Chicago, 70 pages.
    Abstract / Where to find it
  123. Giglio S., B. Kelly and S. Pruitt, (2015), “Systemic Risk and the Macroeconomy: An Empirical Evaluation”, forthcoming in Journal of Financial Economics, 43 pages.
    Abstract / Where to find it
  124. Girardi G. and A. Ergün, (2013), “Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR”, Journal of Banking and Finance, 37(8), 3169-3180.
    Abstract / Where to find it
  125. Gleeson J., A. Hackett, T. Hurd and S. Melnik, (2013), “Systemic Risk in Banking Networks without Monte Carlo Simulation”, Chap. 2 in Advances in Network Analysis and its Applications, E. Kranakis (eds.), Springer-Verlag Berlin Heidelberg, 27-56.
    Abstract / Where to find it
  126. Gofman M., (2014), “Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions”, Working Paper, University of Wisconsin, 47 pages.
    Abstract / Where to find it
  127. Gouriéroux C., J.-C. Heam and A. Monfort, (2012), “Bilateral Exposures and Systemic Solvency Risk”, Canadian Journal of Economics, 45(4), 1273-1309.
    Abstract / Where to find it
  128. Gouriéroux C. and A. Monfort, (2013), “Allocating Systemic Risk in a Regulatory Perspective”, International Journal of Applied and Theoretical Finance, 16(7), 1-20.
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  129. Gouriéroux C., A. Monfort and J.-P. Renne, (2013), “Pricing Default Events : Surprise, Exogeneity and Contagion”, forthcoming in Journal of Econometrics, 45 pages.
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  130. Gray J., (2016), “Lawyers and systemic risk in finance: could (and should) the legal profession contribute to macroprudential regulation?”, Legal Ethics, 23 pages.
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  131. Gualdi S., G. Cimini, K. Primicerio, R. Di Clemente and D. Challet, (2016), “Statistically Similar Portfolios and Systemic Risk”, Working Paper, arXiv:1603.05914, 13 pages.
    Abstract / Where to find it
  132. Gupta R. and M. Jayadev, (2016), “Business Strategy and Systemic Risk - Evidence from Indian Banks”, SSRN Working Paper 2698645, 41 pages.
    Abstract / Where to find it
  133. Hashem S., P Giudici, and P. Abedifar, (2016), “Systemic Risk of Dual Banking Systems”, Working Paper, 39 pages
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