283 citations · 802 across the 44 of their papers we have counts for
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q-fin.RM2018★ 4 cited
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…
q-fin.RM2018
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…