108 citations · 229 across the 12 of their papers we have counts for
9 papers · 1 filter
Quantification of systemic risk from overlapping portfolios in the financial system
Sebastian Poledna, Serafín Martínez-Jaramillo, Fabio Caccioli +1
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different m…
Identifying systemically important companies in the entire liability network of a small open economy
Sebastian Poledna, Abraham Hinteregger, Stefan Thurner
To a large extent, the systemic importance of financial institutions is related to the topology of financial liability networks. In this work we reconstruct and analyze the - to ou…
Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem
Anton Pichler, Sebastian Poledna, Stefan Thurner
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exch…
Basel III capital surcharges for G-SIBs fail to control systemic risk and can cause pro-cyclical side effects
Sebastian Poledna, Olaf Bochmann, Stefan Thurner
In addition to constraining bilateral exposures of financial institutions, there are essentially two options for future financial regulation of systemic risk (SR): First, financial…
Systemic Risk Management in Financial Networks with Credit Default Swaps
Matt V. Leduc, Sebastian Poledna, Stefan Thurner
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shif…
The multi-layer network nature of systemic risk and its implications for the costs of financial crises
Sebastian Poledna, José Luis Molina-Borboa, Serafín Martínez-Jaramillo +2
The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the in…