52 citations · 224 across the 34 of their papers we have counts for
3 papers · 1 filter
Suffocating Fire Sales
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
Fire sales are among the major drivers of market instability in modern financial systems. Due to iterated distressed selling and the associated price impact, initial shocks to some…
Financial Contagion in a Generalized Stochastic Block Model
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to unders…
Managing Default Contagion in Inhomogeneous Financial Networks
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the verti…