390 citations · 2.5k across the 69 of their papers we have counts for
11 papers · 1 filter
Systemic risk in interbank networks: disentangling balance sheets and network effects
Alessandro Ferracci, Giulio Cimini
We study how the level of systemic risk empirically observed in an interbank network differs from the expected risk implied by the balance sheets composition of the participating b…
Systemic liquidity contagion in the European interbank market
V. Macchiati, G. Brandi, G. Cimini +3
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and fi…
Network Sensitivity of Systemic Risk
Amanah Ramadiah, Domenico Di Gangi, D. Ruggiero Lo Sardo +6
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institut…
Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis
Sadamori Kojaku, Giulio Cimini, Guido Caldarelli +1
Interbank markets are often characterised in terms of a core-periphery network structure, with a highly interconnected core of banks holding the market together, and a periphery of…
Statistical validation of financial time series via visibility graph
Matteo Serafino, Andrea Gabrielli, Guido Caldarelli +1
Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case…
How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation
Matteo Serri, Guido Caldarelli, Giulio Cimini
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situatio…
What do central counterparties default funds really cover? A network-based stress test answer
Giulia Poce, Giulio Cimini, Andrea Gabrielli +5
In the last years, increasing efforts have been put into the development of effective stress tests to quantify the resilience of financial institutions. Here we propose a stress te…
Epidemics of Liquidity Shortages in Interbank Markets
Giuseppe Brandi, Riccardo Di Clemente, Giulio Cimini
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models u…
Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks
Tiziano Squartini, Assaf Almog, Guido Caldarelli +3
Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is prov…
Entangling credit and funding shocks in interbank markets
Giulio Cimini, Matteo Serri
Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are…
Statistically validated network of portfolio overlaps and systemic risk
Stanislao Gualdi, Giulio Cimini, Kevin Primicerio +2
Common asset holding by financial institutions, namely portfolio overlap, is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sa…