253 citations · 892 across the 16 of their papers we have counts for
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q-fin.GN2019
The Network Effect in Credit Concentration Risk
Davide Cellai, Trevor Fitzpatrick
Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit conce…
q-fin.GN2013★ 15 cited
Double Cascade Model of Financial Crises
Thomas R. Hurd, Davide Cellai, Sergey Melnik +1
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagi…