283 citations · 802 across the 44 of their papers we have counts for
5 papers · 1 filter
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…
Collateral Unchained: Rehypothecation networks, concentration and systemic effects
Duc Thi Luu, Mauro Napoletano, Paolo Barucca +1
We study how network structure affects the dynamics of collateral in presence of rehypothecation. We build a simple model wherein banks interact via chains of repo contracts and us…
Network models of financial systemic risk: A review
Fabio Caccioli, Paolo Barucca, Teruyoshi Kobayashi
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visi…
Network Valuation in Financial Systems
Paolo Barucca, Marco Bardoscia, Fabio Caccioli +4
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing…
The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
Paolo Barucca, Fabrizio Lillo
The topological properties of interbank networks have been discussed widely in the literature mainly because of their relevance for systemic risk. Here we propose to use the Stocha…