Sim, Khai Zhi The optimal bailout policy in an interbank network. (English) Zbl 07563130 Econ. Lett. 216, Article ID 110628, 5 p. (2022). MSC: 91G45 PDF BibTeX XML Cite \textit{K. Z. Sim}, Econ. Lett. 216, Article ID 110628, 5 p. (2022; Zbl 07563130) Full Text: DOI OpenURL
Neto, David Examining interconnectedness between media attention and cryptocurrency markets: a transfer entropy story. (English) Zbl 07562778 Econ. Lett. 214, Article ID 110460, 6 p. (2022). MSC: 91G45 91G99 94A17 PDF BibTeX XML Cite \textit{D. Neto}, Econ. Lett. 214, Article ID 110460, 6 p. (2022; Zbl 07562778) Full Text: DOI OpenURL
Morelli, Juan M.; Ottonello, Pablo; Perez, Diego J. Global banks and systemic debt crises. (English) Zbl 07554987 Econometrica 90, No. 2, 749-798 (2022). MSC: 91G45 91B69 PDF BibTeX XML Cite \textit{J. M. Morelli} et al., Econometrica 90, No. 2, 749--798 (2022; Zbl 07554987) Full Text: DOI OpenURL
Bianchi, Javier; Bigio, Saki Banks, liquidity management, and monetary policy. (English) Zbl 07554970 Econometrica 90, No. 1, 391-454 (2022). MSC: 91B64 91G45 PDF BibTeX XML Cite \textit{J. Bianchi} and \textit{S. Bigio}, Econometrica 90, No. 1, 391--454 (2022; Zbl 07554970) Full Text: DOI OpenURL
Dvorkin, Maximiliano; Sánchez, Juan M.; Sapriza, Horacio; Yurdagul, Emircan Improving sovereign debt restructurings. (English) Zbl 07554310 J. Econ. Dyn. Control 139, Article ID 104435, 24 p. (2022). MSC: 91G45 PDF BibTeX XML Cite \textit{M. Dvorkin} et al., J. Econ. Dyn. Control 139, Article ID 104435, 24 p. (2022; Zbl 07554310) Full Text: DOI OpenURL
Fève, Patrick; Moura, Alban; Pierrard, Olivier The fall in shadow banking and the slow U.S. recovery. (English) Zbl 07554297 J. Econ. Dyn. Control 139, Article ID 104404, 20 p. (2022). MSC: 91G45 91B51 PDF BibTeX XML Cite \textit{P. Fève} et al., J. Econ. Dyn. Control 139, Article ID 104404, 20 p. (2022; Zbl 07554297) Full Text: DOI OpenURL
Shao, Jinghai; Mitra, Sovan; Karathanasopoulos, Andreas Optimal feedback control of stock prices under credit risk dynamics. (English) Zbl 07553154 Ann. Oper. Res. 313, No. 2, 1285-1318 (2022). MSC: 91G15 91G40 91G45 93E20 93B52 PDF BibTeX XML Cite \textit{J. Shao} et al., Ann. Oper. Res. 313, No. 2, 1285--1318 (2022; Zbl 07553154) Full Text: DOI OpenURL
Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel Spatial contagion between financial markets: new evidence of asymmetric measures. (English) Zbl 07553150 Ann. Oper. Res. 313, No. 2, 1183-1220 (2022). MSC: 91G15 91G45 62P05 62H05 PDF BibTeX XML Cite \textit{W. Miled} et al., Ann. Oper. Res. 313, No. 2, 1183--1220 (2022; Zbl 07553150) Full Text: DOI OpenURL
Kchaou, Oussama; Bellalah, Makram; Tahi, Sofiane Transmission of the Greek crisis on the sovereign debt markets in the euro area. (English) Zbl 07553147 Ann. Oper. Res. 313, No. 2, 1117-1139 (2022). MSC: 91G45 91B64 62P05 PDF BibTeX XML Cite \textit{O. Kchaou} et al., Ann. Oper. Res. 313, No. 2, 1117--1139 (2022; Zbl 07553147) Full Text: DOI OpenURL
Giudici, Paolo; Polinesi, Gloria; Spelta, Alessandro Network models to improve robot advisory portfolios. (English) Zbl 07553142 Ann. Oper. Res. 313, No. 2, 965-989 (2022). MSC: 91G10 91G45 PDF BibTeX XML Cite \textit{P. Giudici} et al., Ann. Oper. Res. 313, No. 2, 965--989 (2022; Zbl 07553142) Full Text: DOI OpenURL
Khalfaoui, Rabeh; Solarin, Sakiru Adebola; Al-Qadasi, Adel; Ben Jabeur, Sami Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries. (English) Zbl 07550833 Ann. Oper. Res. 313, No. 1, 105-143 (2022). MSC: 91G15 91G45 42C40 PDF BibTeX XML Cite \textit{R. Khalfaoui} et al., Ann. Oper. Res. 313, No. 1, 105--143 (2022; Zbl 07550833) Full Text: DOI OpenURL
Ji, Qiang; Zhang, Dayong; Zhao, Yuqian Intra-day co-movements of crude oil futures: China and the international benchmarks. (English) Zbl 07550832 Ann. Oper. Res. 313, No. 1, 77-103 (2022). MSC: 91G20 91G45 62P05 62H30 PDF BibTeX XML Cite \textit{Q. Ji} et al., Ann. Oper. Res. 313, No. 1, 77--103 (2022; Zbl 07550832) Full Text: DOI OpenURL
Shirokikh, Oleg; Pastukhov, Grigory; Semenov, Alexander; Butenko, Sergiy; Veremyev, Alexander; Pasiliao, Eduardo L.; Boginski, Vladimir Networks of causal relationships in the U.S. stock market. (English) Zbl 07547647 Depend. Model. 10, 177-190 (2022). MSC: 91G45 90B10 PDF BibTeX XML Cite \textit{O. Shirokikh} et al., Depend. Model. 10, 177--190 (2022; Zbl 07547647) Full Text: DOI OpenURL
Bo, Lijun; Li, Tongqing; Yu, Xiang Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence. (English) Zbl 07544392 Stochastic Processes Appl. 150, 622-654 (2022). MSC: 91G45 93E20 60H30 PDF BibTeX XML Cite \textit{L. Bo} et al., Stochastic Processes Appl. 150, 622--654 (2022; Zbl 07544392) Full Text: DOI OpenURL
Qiu, Ming; Jin, Zhuo; Li, Shuanming Optimal dividend strategies with reinsurance under contagious systemic risk. (English) Zbl 07534663 SIAM J. Control Optim. 60, No. 3, 1269-1293 (2022). MSC: 91G05 91G45 93E20 49L12 PDF BibTeX XML Cite \textit{M. Qiu} et al., SIAM J. Control Optim. 60, No. 3, 1269--1293 (2022; Zbl 07534663) Full Text: DOI OpenURL
Wang, Xiaodong; Hsieh, Fushing Unraveling S&P\(500\) stock volatility and networks – an encoding-and-decoding approach. (English) Zbl 07532624 Quant. Finance 22, No. 5, 997-1016 (2022). MSC: 91G15 91G45 PDF BibTeX XML Cite \textit{X. Wang} and \textit{F. Hsieh}, Quant. Finance 22, No. 5, 997--1016 (2022; Zbl 07532624) Full Text: DOI OpenURL
De Giuli, Maria Elena; Flori, Andrea; Lazzari, Daniela; Spelta, Alessandro Brexit news propagation in financial systems: multidimensional visibility networks for market volatility dynamics. (English) Zbl 07532623 Quant. Finance 22, No. 5, 973-995 (2022). MSC: 91G45 91G15 PDF BibTeX XML Cite \textit{M. E. De Giuli} et al., Quant. Finance 22, No. 5, 973--995 (2022; Zbl 07532623) Full Text: DOI OpenURL
Mishra, Abinash; Srivastava, Pranjal; Chakrabarti, Anindya S. ‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock markets. (English) Zbl 07532622 Quant. Finance 22, No. 5, 943-971 (2022). MSC: 91G45 91G50 PDF BibTeX XML Cite \textit{A. Mishra} et al., Quant. Finance 22, No. 5, 943--971 (2022; Zbl 07532622) Full Text: DOI OpenURL
Dungey, Mardi; Holloway, Jet; Yalaman, Abdullah; Yao, Wenying Characterizing financial crises using high-frequency data. (English) Zbl 07532610 Quant. Finance 22, No. 4, 743-760 (2022). MSC: 91G45 PDF BibTeX XML Cite \textit{M. Dungey} et al., Quant. Finance 22, No. 4, 743--760 (2022; Zbl 07532610) Full Text: DOI OpenURL
Tadmon, Calvin; Njike-Tchaptchet, Eric Rostand Mathematical modeling and optimal control of the impact of rumors on the banking crisis. (English) Zbl 07530393 Demonstr. Math. 55, 90-118 (2022). MSC: 91G45 91G80 91D30 PDF BibTeX XML Cite \textit{C. Tadmon} and \textit{E. R. Njike-Tchaptchet}, Demonstr. Math. 55, 90--118 (2022; Zbl 07530393) Full Text: DOI OpenURL
Ogawa, Toshiaki Welfare implications of bank capital requirements under dynamic default decisions. (English) Zbl 07526556 J. Econ. Dyn. Control 138, Article ID 104360, 32 p. (2022). MSC: 91G45 91B50 PDF BibTeX XML Cite \textit{T. Ogawa}, J. Econ. Dyn. Control 138, Article ID 104360, 32 p. (2022; Zbl 07526556) Full Text: DOI OpenURL
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok, Christoffer Contagion accounting in stress-testing. (English) Zbl 07526545 J. Econ. Dyn. Control 137, Article ID 104354, 21 p. (2022). MSC: 91G45 PDF BibTeX XML Cite \textit{I. Aldasoro} et al., J. Econ. Dyn. Control 137, Article ID 104354, 21 p. (2022; Zbl 07526545) Full Text: DOI OpenURL
Feng, Xu; Lütkebohmert, Eva; Xiao, Yajun Wealth management products, banking competition, and stability: evidence from China. (English) Zbl 07526541 J. Econ. Dyn. Control 137, Article ID 104346, 27 p. (2022). MSC: 91G45 PDF BibTeX XML Cite \textit{X. Feng} et al., J. Econ. Dyn. Control 137, Article ID 104346, 27 p. (2022; Zbl 07526541) Full Text: DOI OpenURL
Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio Backtesting macroprudential stress tests. (English) Zbl 07526537 J. Econ. Dyn. Control 137, Article ID 104333, 33 p. (2022). MSC: 91G45 PDF BibTeX XML Cite \textit{A. Ramadiah} et al., J. Econ. Dyn. Control 137, Article ID 104333, 33 p. (2022; Zbl 07526537) Full Text: DOI OpenURL
Li, Li; Tu, Yundong The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach. (English) Zbl 1484.91507 Econ. Lett. 212, Article ID 110306, 4 p. (2022). MSC: 91G45 PDF BibTeX XML Cite \textit{L. Li} and \textit{Y. Tu}, Econ. Lett. 212, Article ID 110306, 4 p. (2022; Zbl 1484.91507) Full Text: DOI OpenURL
Li, Jianping; Wei, Lu; Zhu, Xiaoqian Financial statements-based bank risk aggregation. (English) Zbl 1483.91003 Innovation in Risk Analysis. Singapore: Springer (ISBN 978-981-19-0407-3/hbk; 978-981-19-0410-3/pbk; 978-981-19-0408-0/ebook). viii, 210 p. (2022). MSC: 91-02 91G45 91G70 PDF BibTeX XML Cite \textit{J. Li} et al., Financial statements-based bank risk aggregation. Singapore: Springer (2022; Zbl 1483.91003) Full Text: DOI OpenURL
Li, Ping; Guo, Yanhong; Meng, Hui The impact of CoCo bonds on systemic risk considering liquidity risk. (English) Zbl 1484.91482 Quant. Finance 22, No. 2, 385-406 (2022). MSC: 91G20 91G45 PDF BibTeX XML Cite \textit{P. Li} et al., Quant. Finance 22, No. 2, 385--406 (2022; Zbl 1484.91482) Full Text: DOI OpenURL
Cevik, Serhan; Jalles, João Tovar An apocalypse foretold: climate shocks and sovereign defaults. (English) Zbl 1485.91240 Open Econ. Rev. 33, No. 1, 89-108 (2022). MSC: 91G45 91B76 PDF BibTeX XML Cite \textit{S. Cevik} and \textit{J. T. Jalles}, Open Econ. Rev. 33, No. 1, 89--108 (2022; Zbl 1485.91240) Full Text: DOI OpenURL
Amri, Puspa D.; Chiu, Eric M. P.; Meyer, Jacob M.; Richey, Greg M.; Willett, Thomas D. Correlates of crisis induced credit market discipline: the roles of democracy, veto players, and government turnover. (English) Zbl 1485.91239 Open Econ. Rev. 33, No. 1, 61-87 (2022). MSC: 91G45 91F10 PDF BibTeX XML Cite \textit{P. D. Amri} et al., Open Econ. Rev. 33, No. 1, 61--87 (2022; Zbl 1485.91239) Full Text: DOI OpenURL
di Giovanni, Julian; Kalemli-Özcan, Şebnem; Ulu, Mehmet Fatih; Baskaya, Yusuf Soner International spillovers and local credit cycles. (English) Zbl 1484.91505 Rev. Econ. Stud. 89, No. 2, 733-773 (2022). MSC: 91G45 91G40 PDF BibTeX XML Cite \textit{J. di Giovanni} et al., Rev. Econ. Stud. 89, No. 2, 733--773 (2022; Zbl 1484.91505) Full Text: DOI OpenURL
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying Systemic risk: conditional distortion risk measures. (English) Zbl 1484.91504 Insur. Math. Econ. 102, 126-145 (2022). MSC: 91G45 91G70 62H05 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Insur. Math. Econ. 102, 126--145 (2022; Zbl 1484.91504) Full Text: DOI arXiv OpenURL
Ellington, Michael Fat tails, serial dependence, and implied volatility index connections. (English) Zbl 07479773 Eur. J. Oper. Res. 299, No. 2, 768-779 (2022). MSC: 91G45 62P05 91B84 PDF BibTeX XML Cite \textit{M. Ellington}, Eur. J. Oper. Res. 299, No. 2, 768--779 (2022; Zbl 07479773) Full Text: DOI OpenURL
Bonaccolto, Giovanni; Caporin, Massimiliano; Maillet, Bertrand B. Dynamic large financial networks via conditional expected shortfalls. (English) Zbl 07478899 Eur. J. Oper. Res. 298, No. 1, 322-336 (2022). MSC: 91G45 62P05 91G10 PDF BibTeX XML Cite \textit{G. Bonaccolto} et al., Eur. J. Oper. Res. 298, No. 1, 322--336 (2022; Zbl 07478899) Full Text: DOI OpenURL
Embrechts, Paul; Schied, Alexander; Wang, Ruodu Robustness in the optimization of risk measures. (English) Zbl 1485.90079 Oper. Res. 70, No. 1, 95-110 (2022). MSC: 90C17 90C90 PDF BibTeX XML Cite \textit{P. Embrechts} et al., Oper. Res. 70, No. 1, 95--110 (2022; Zbl 1485.90079) Full Text: DOI arXiv OpenURL
Li, Yuan; Yang, Jinqiang; Zhao, Siqi Present-biased government and sovereign debt dynamics. (English) Zbl 1483.91133 J. Math. Econ. 98, Article ID 102579, 18 p. (2022). MSC: 91B64 91G45 PDF BibTeX XML Cite \textit{Y. Li} et al., J. Math. Econ. 98, Article ID 102579, 18 p. (2022; Zbl 1483.91133) Full Text: DOI OpenURL
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel Suffocating fire sales. (English) Zbl 1483.91250 SIAM J. Financ. Math. 13, No. 1, 70-108 (2022). MSC: 91G45 PDF BibTeX XML Cite \textit{N. Detering} et al., SIAM J. Financ. Math. 13, No. 1, 70--108 (2022; Zbl 1483.91250) Full Text: DOI arXiv OpenURL
Orlando, Giuseppe; Bufalo, Michele; Penikas, Henry; Zurlo, Concetta Modern financial engineering. Counterparty, credit, portfolio and systemic risks. (English) Zbl 07473634 Topics in Systems Engineering 2. Singapore: World Scientific (ISBN 978-981-12-5235-8/hbk; 978-981-12-5237-2/ebook). xxv, 407 p. (2022). Reviewer: Pavel Stoynov (Sofia) MSC: 91-02 91G40 91G45 91G10 PDF BibTeX XML Cite \textit{G. Orlando} et al., Modern financial engineering. Counterparty, credit, portfolio and systemic risks. Singapore: World Scientific (2022; Zbl 07473634) Full Text: DOI OpenURL
Sun, Li-Hsien Mean field games with heterogeneous groups: application to banking systems. (English) Zbl 1482.91214 J. Optim. Theory Appl. 192, No. 1, 130-167 (2022). MSC: 91G45 91G80 91A16 91A80 PDF BibTeX XML Cite \textit{L.-H. Sun}, J. Optim. Theory Appl. 192, No. 1, 130--167 (2022; Zbl 1482.91214) Full Text: DOI OpenURL
Kuang, Yao; Douady, Raphael Crisis risk prediction with concavity from polymodel. (English) Zbl 1478.62311 J. Dyn. Games 9, No. 1, 97-115 (2022). MSC: 62P05 91G45 91G70 PDF BibTeX XML Cite \textit{Y. Kuang} and \textit{R. Douady}, J. Dyn. Games 9, No. 1, 97--115 (2022; Zbl 1478.62311) Full Text: DOI OpenURL
Bichuch, Maxim; Feinstein, Zachary A repo model of fire sales with VWAP and LOB pricing mechanisms. (English) Zbl 1487.91152 Eur. J. Oper. Res. 296, No. 1, 353-367 (2022). MSC: 91G45 PDF BibTeX XML Cite \textit{M. Bichuch} and \textit{Z. Feinstein}, Eur. J. Oper. Res. 296, No. 1, 353--367 (2022; Zbl 1487.91152) Full Text: DOI arXiv OpenURL
Farmer, J. Doyne (ed.); Kleinnijenhuis, Alissa M. (ed.); Schuermann, Til (ed.); Wetzer, Thom (ed.) [Geithner, Timothy F.] Handbook of financial stress testing. With a foreword by Timothy F. Geithner. (English) Zbl 1485.91001 Cambridge: Cambridge University Press (ISBN 978-1-108-83073-7/hbk; 978-1-108-90301-1/ebook). xviii, 710 p. (2022). MSC: 91-00 91G45 00B15 PDF BibTeX XML Cite \textit{J. D. Farmer} (ed.) et al., Handbook of financial stress testing. With a foreword by Timothy F. Geithner. Cambridge: Cambridge University Press (2022; Zbl 1485.91001) Full Text: DOI OpenURL
Couto, Ricardo; Duczmal, Luiz H.; Burgarelli, Denise; Álvares, Felipe; Moreira, Gladston J. P. Nonparametric dependence modeling via cluster analysis: a financial contagion application. (English) Zbl 07545565 Commun. Stat., Simulation Comput. 50, No. 2, 537-556 (2021). MSC: 62P05 62M10 91G45 PDF BibTeX XML Cite \textit{R. Couto} et al., Commun. Stat., Simulation Comput. 50, No. 2, 537--556 (2021; Zbl 07545565) Full Text: DOI OpenURL
Battulga, G.; Altangerel, L.; Battur, G. Loan interest rate Nash models with solvency constraints in the banking sector. (English) Zbl 07540575 Optim. Methods Softw. 36, No. 5, 891-908 (2021). MSC: 91G30 91G45 PDF BibTeX XML Cite \textit{G. Battulga} et al., Optim. Methods Softw. 36, No. 5, 891--908 (2021; Zbl 07540575) Full Text: DOI OpenURL
Ekhosuehi, Virtue U.; Omoregie, David E. Inspecting debt servicing mechanism in Nigeria using ARMAX model of the Koyck kind. (English) Zbl 07528216 Oper. Res. Decis. 31, No. 1, 5-20 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{V. U. Ekhosuehi} and \textit{D. E. Omoregie}, Oper. Res. Decis. 31, No. 1, 5--20 (2021; Zbl 07528216) Full Text: Link OpenURL
Rao, Ruofeng; Li, Xiaodi Input-to-state stability in the meaning of switching for delayed feedback switched stochastic financial system. (English) Zbl 1484.91508 AIMS Math. 6, No. 1, 1040-1064 (2021). MSC: 91G45 34D23 93D25 PDF BibTeX XML Cite \textit{R. Rao} and \textit{X. Li}, AIMS Math. 6, No. 1, 1040--1064 (2021; Zbl 1484.91508) Full Text: DOI OpenURL
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph; Schlag, Christian Equilibrium asset pricing in directed networks. (English) Zbl 07512725 Rev. Finance 25, No. 3, 777-818 (2021). MSC: 91G30 91G45 PDF BibTeX XML Cite \textit{N. Branger} et al., Rev. Finance 25, No. 3, 777--818 (2021; Zbl 07512725) Full Text: DOI OpenURL
Bird, Andrew; Karolyi, Stephen A.; Ruchti, Thomas G.; Truong, Phong More is less: publicizing information and market feedback. (English) Zbl 07512724 Rev. Finance 25, No. 3, 745-775 (2021). MSC: 91G15 PDF BibTeX XML Cite \textit{A. Bird} et al., Rev. Finance 25, No. 3, 745--775 (2021; Zbl 07512724) Full Text: DOI OpenURL
Gao, Janet; Jang, Yeejin What drives global lending syndication? Effects of cross-country capital regulation gaps. (English) Zbl 07512718 Rev. Finance 25, No. 2, 519-559 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{J. Gao} and \textit{Y. Jang}, Rev. Finance 25, No. 2, 519--559 (2021; Zbl 07512718) Full Text: DOI OpenURL
Zhou, Fan; Qi, Xiuxiu; Xiao, Chunjing; Wang, Jiahao Metarisk: semi-supervised few-shot operational risk classification in banking industry. (English) Zbl 1486.91088 Inf. Sci. 552, 1-16 (2021). MSC: 91G45 91G70 62H30 68T05 PDF BibTeX XML Cite \textit{F. Zhou} et al., Inf. Sci. 552, 1--16 (2021; Zbl 1486.91088) Full Text: DOI OpenURL
Vanlaer, Willem; Picarelli, Mattia; Marneffe, Wim Debt and private investment: does the EU suffer from a debt overhang? (English) Zbl 1485.91159 Open Econ. Rev. 32, No. 4, 789-820 (2021). MSC: 91B64 91G45 PDF BibTeX XML Cite \textit{W. Vanlaer} et al., Open Econ. Rev. 32, No. 4, 789--820 (2021; Zbl 1485.91159) Full Text: DOI OpenURL
Corbae, Dean; D’Erasmo, Pablo Capital buffers in a quantitative model of banking industry dynamics. (English) Zbl 1485.91242 Econometrica 89, No. 6, 2975-3023 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{D. Corbae} and \textit{P. D'Erasmo}, Econometrica 89, No. 6, 2975--3023 (2021; Zbl 1485.91242) Full Text: DOI OpenURL
Gavrila, Lucian-Ionut; Popa, Alexandru A novel algorithm for clearing financial obligations between companies - an application within the Romanian ministry of economy. (English) Zbl 1485.91243 Algorithm. Finance 9, No. 1-2, 49-60 (2021). MSC: 91G45 05C90 PDF BibTeX XML Cite \textit{L.-I. Gavrila} and \textit{A. Popa}, Algorithm. Finance 9, No. 1--2, 49--60 (2021; Zbl 1485.91243) Full Text: DOI arXiv OpenURL
León, Carlos; Mariño, Ricardo; Cadena, Carlos Do central counterparties reduce counterparty and liquidity risk? Empirical results. (English) Zbl 1485.91245 Algorithm. Finance 9, No. 1-2, 25-34 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{C. León} et al., Algorithm. Finance 9, No. 1--2, 25--34 (2021; Zbl 1485.91245) Full Text: DOI OpenURL
Wang, Cindy S. H.; Hsiao, Cheng; Yang, Hao-Hsiang Market integration, systemic risk and diagnostic tests in large mixed panels. (English) Zbl 07484576 Econom. Rev. 40, No. 8, 750-795 (2021). MSC: 62P05 62M10 91B84 91G45 PDF BibTeX XML Cite \textit{C. S. H. Wang} et al., Econom. Rev. 40, No. 8, 750--795 (2021; Zbl 07484576) Full Text: DOI OpenURL
D’Errico, Marco; Roukny, Tarik Compressing over-the-counter markets. (English) Zbl 1484.91450 Oper. Res. 69, No. 6, 1660-1679 (2021). MSC: 91G15 91G45 PDF BibTeX XML Cite \textit{M. D'Errico} and \textit{T. Roukny}, Oper. Res. 69, No. 6, 1660--1679 (2021; Zbl 1484.91450) Full Text: DOI arXiv OpenURL
Wang, Bo; Jahanshahi, Hadi; Bekiros, Stelios; Chu, Yu-Ming; Gómez-Aguilar, J. F.; Alsaadi, Fawaz E.; Alassafi, Madini O. Tracking control and stabilization of a fractional financial risk system using novel active finite-time fault-tolerant controls. (English) Zbl 1482.91215 Fractals 29, No. 6, Article ID 2150155, 20 p. (2021). MSC: 91G45 26A33 93D40 93B35 PDF BibTeX XML Cite \textit{B. Wang} et al., Fractals 29, No. 6, Article ID 2150155, 20 p. (2021; Zbl 1482.91215) Full Text: DOI OpenURL
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; Renne, Jean-Paul Disastrous defaults. (English) Zbl 07459950 Rev. Finance 25, No. 6, 1727-1772 (2021). MSC: 91G45 91G40 91G20 PDF BibTeX XML Cite \textit{C. Gouriéroux} et al., Rev. Finance 25, No. 6, 1727--1772 (2021; Zbl 07459950) Full Text: DOI OpenURL
Doerr, Sebastian Stress tests, entrepreneurship, and innovation. (English) Zbl 07459947 Rev. Finance 25, No. 5, 1609-1637 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{S. Doerr}, Rev. Finance 25, No. 5, 1609--1637 (2021; Zbl 07459947) Full Text: DOI OpenURL
Boudoukh, Jacob; Brooks, Jordan; Richardson, Matthew; Xu, Zhikai Sovereign credit quality and violations of the law of one price. (English) Zbl 07459946 Rev. Finance 25, No. 5, 1581-1607 (2021). MSC: 91G45 91G20 91G40 PDF BibTeX XML Cite \textit{J. Boudoukh} et al., Rev. Finance 25, No. 5, 1581--1607 (2021; Zbl 07459946) Full Text: DOI OpenURL
Gopalan, Yadav; Kalda, Ankit; Manela, Asaf Hub-and-spoke regulation and bank leverage. (English) Zbl 1481.91217 Rev. Finance 25, No. 5, 1499-1545 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{Y. Gopalan} et al., Rev. Finance 25, No. 5, 1499--1545 (2021; Zbl 1481.91217) Full Text: DOI OpenURL
Farhi, Emmanuel; Tirole, Jean; Guerrieri, Veronica Shadow banking and the four pillars of traditional financial intermediation. (English) Zbl 1481.91216 Rev. Econ. Stud. 88, No. 6, 2622-2653 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{E. Farhi} et al., Rev. Econ. Stud. 88, No. 6, 2622--2653 (2021; Zbl 1481.91216) Full Text: DOI OpenURL
Schmitt-Grohé, Stephanie; Uribe, Martín Multiple equilibria in open economies with collateral constraints. (English) Zbl 1481.91112 Rev. Econ. Stud. 88, No. 2, 969-1001 (2021). MSC: 91B52 91G45 PDF BibTeX XML Cite \textit{S. Schmitt-Grohé} and \textit{M. Uribe}, Rev. Econ. Stud. 88, No. 2, 969--1001 (2021; Zbl 1481.91112) Full Text: DOI OpenURL
Emary, Clive; Fort, Hugo Markets as ecological networks: inferring interactions and identifying communities. (English) Zbl 1481.91201 J. Complex Netw. 9, No. 2, Article ID cnab022, 17 p. (2021). MSC: 91G15 91G45 PDF BibTeX XML Cite \textit{C. Emary} and \textit{H. Fort}, J. Complex Netw. 9, No. 2, Article ID cnab022, 17 p. (2021; Zbl 1481.91201) Full Text: DOI OpenURL
Chakrabarti, Anindya S.; Chakraborti, Anirban; Upmanyu, Suryansh Macroeconomic and financial networks: review of some recent developments in parametric and non-parametric approaches. (English) Zbl 1481.91215 Borkotokey, Surajit (ed.) et al., Game theory and networks. New perspectives and directions. Selected papers based on the presentations at the international conference on game theory and networks, Dibrugarh University, Dibrugarh, India, September 6–8, 2019, and the international seminar on game theory and networks, Dibrugarh University, Dibrugarh, India, September 13–14, 2018. Singapore: Springer. Indian Stat. Inst. Ser., 325-362 (2021). MSC: 91G45 91B60 91B39 91D30 PDF BibTeX XML Cite \textit{A. S. Chakrabarti} et al., in: Game theory and networks. New perspectives and directions. Selected papers based on the presentations at the international conference on game theory and networks, Dibrugarh University, Dibrugarh, India, September 6--8, 2019, and the international seminar on game theory and networks, Dibrugarh University, Dibrugarh, India, September 13--14, 2018. Singapore: Springer. 325--362 (2021; Zbl 1481.91215) Full Text: DOI OpenURL
Amador, Manuel; Phelan, Christopher Reputation and sovereign default. (English) Zbl 1480.91300 Econometrica 89, No. 4, 1979-2010 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{M. Amador} and \textit{C. Phelan}, Econometrica 89, No. 4, 1979--2010 (2021; Zbl 1480.91300) Full Text: DOI OpenURL
Wang, Jun; Zhao, Chengguo; Hu, Lei; Li, Meng Study of construction and empirical of the credit risk contagion models among the Internet financial platforms. (Chinese. English summary) Zbl 07448811 Math. Pract. Theory 51, No. 14, 20-30 (2021). MSC: 91G45 91G40 PDF BibTeX XML Cite \textit{J. Wang} et al., Math. Pract. Theory 51, No. 14, 20--30 (2021; Zbl 07448811) OpenURL
Ouyang, Zisheng; Li, Hongxuan; Yang, Xite Research on the influence of network public opinion on the systematic risk of listed financial institutions in China. (Chinese. English summary) Zbl 07448653 J. Syst. Sci. Math. Sci. 41, No. 5, 1339-1354 (2021). MSC: 91D30 91G45 91G70 PDF BibTeX XML Cite \textit{Z. Ouyang} et al., J. Syst. Sci. Math. Sci. 41, No. 5, 1339--1354 (2021; Zbl 07448653) OpenURL
Cui, Jinxin; Zou, Huiwen Dynamic linkages and higher moments risk connectedness among international stock markets. (Chinese. English summary) Zbl 07448641 J. Syst. Sci. Math. Sci. 41, No. 4, 976-1006 (2021). MSC: 91G45 91G15 91G10 91G70 PDF BibTeX XML Cite \textit{J. Cui} and \textit{H. Zou}, J. Syst. Sci. Math. Sci. 41, No. 4, 976--1006 (2021; Zbl 07448641) OpenURL
Ding, Kai; Hill, Enoch; Perez-Reyna, David Optimal capital requirements with noisy signals on banking risk. (English) Zbl 1484.91506 Econ. Theory 71, No. 4, 1649-1687 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{K. Ding} et al., Econ. Theory 71, No. 4, 1649--1687 (2021; Zbl 1484.91506) Full Text: DOI OpenURL
Apergis, Nicholas; Aysan, Ahmet F.; Bakkar, Yassine How do institutional settings condition the effect of macroprudential policies on bank systemic risk? (English) Zbl 1479.91428 Econ. Lett. 209, Article ID 110123, 6 p. (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{N. Apergis} et al., Econ. Lett. 209, Article ID 110123, 6 p. (2021; Zbl 1479.91428) Full Text: DOI OpenURL
Adelfio, Giada; Agosto, Arianna; Chiodi, Marcello; Giudici, Paolo Financial contagion through space-time point processes. (English) Zbl 1480.91299 Stat. Methods Appl. 30, No. 2, 665-688 (2021). MSC: 91G45 62M30 60G55 91G40 PDF BibTeX XML Cite \textit{G. Adelfio} et al., Stat. Methods Appl. 30, No. 2, 665--688 (2021; Zbl 1480.91299) Full Text: DOI OpenURL
Gurgone, Andrea; Iori, Giulia A multi-agent methodology to assess the effectiveness of systemic risk-adjusted capital requirements. (English) Zbl 1479.91430 Dawid, Herbert (ed.) et al., Dynamic analysis in complex economic environments. Essays in honor of Christophe Deissenberg. Cham: Springer. Dyn. Model. Econom. Econ. Finance 26, 177-204 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{A. Gurgone} and \textit{G. Iori}, Dyn. Model. Econom. Econ. Finance 26, 177--204 (2021; Zbl 1479.91430) Full Text: DOI OpenURL
Cherubini, Umberto Estimating redenomination risk under Gumbel-Hougaard survival copulas. (English) Zbl 1478.91181 J. Econ. Dyn. Control 133, Article ID 104268, 20 p. (2021). MSC: 91G45 91G20 PDF BibTeX XML Cite \textit{U. Cherubini}, J. Econ. Dyn. Control 133, Article ID 104268, 20 p. (2021; Zbl 1478.91181) Full Text: DOI OpenURL
Roncoroni, Alan; Battiston, Stefano; D’Errico, Marco; Hałaj, Grzegorz; Kok, Christoffer Interconnected banks and systemically important exposures. (English) Zbl 1478.91184 J. Econ. Dyn. Control 133, Article ID 104266, 22 p. (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{A. Roncoroni} et al., J. Econ. Dyn. Control 133, Article ID 104266, 22 p. (2021; Zbl 1478.91184) Full Text: DOI OpenURL
Fanelli, Sebastián; Gonzalez-Eiras, Martín Resolution of financial crises. (English) Zbl 1478.91182 J. Econ. Dyn. Control 133, Article ID 104252, 28 p. (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{S. Fanelli} and \textit{M. Gonzalez-Eiras}, J. Econ. Dyn. Control 133, Article ID 104252, 28 p. (2021; Zbl 1478.91182) Full Text: DOI OpenURL
Bardoscia, Marco; Ferrara, Gerardo; Vause, Nicholas; Yoganayagam, Michael Simulating liquidity stress in the derivatives market. (English) Zbl 1478.91176 J. Econ. Dyn. Control 133, Article ID 104215, 26 p. (2021). MSC: 91G20 91G45 PDF BibTeX XML Cite \textit{M. Bardoscia} et al., J. Econ. Dyn. Control 133, Article ID 104215, 26 p. (2021; Zbl 1478.91176) Full Text: DOI OpenURL
Doldi, Alessandro; Frittelli, Marco Conditional systemic risk measures. (English) Zbl 1479.91429 SIAM J. Financ. Math. 12, No. 4, 1459-1507 (2021). MSC: 91G45 91G70 PDF BibTeX XML Cite \textit{A. Doldi} and \textit{M. Frittelli}, SIAM J. Financ. Math. 12, No. 4, 1459--1507 (2021; Zbl 1479.91429) Full Text: DOI arXiv OpenURL
Bo, Lijun; Liu, Yanchu; Zhang, Tingting Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing. (English) Zbl 1479.91371 Quant. Finance 21, No. 7, 1187-1206 (2021). MSC: 91G15 91G45 PDF BibTeX XML Cite \textit{L. Bo} et al., Quant. Finance 21, No. 7, 1187--1206 (2021; Zbl 1479.91371) Full Text: DOI OpenURL
Wang, Gang-Jin; Yi, Shuyue; Xie, Chi; Stanley, H. Eugene Multilayer information spillover networks: measuring interconnectedness of financial institutions. (English) Zbl 1479.91433 Quant. Finance 21, No. 7, 1163-1185 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{G.-J. Wang} et al., Quant. Finance 21, No. 7, 1163--1185 (2021; Zbl 1479.91433) Full Text: DOI OpenURL
Koshiyama, Adriano; Firoozye, Nick; Treleaven, Philip Generative adversarial networks for financial trading strategies fine-tuning and combination. (English) Zbl 1479.91431 Quant. Finance 21, No. 5, 797-813 (2021). MSC: 91G45 91G15 PDF BibTeX XML Cite \textit{A. Koshiyama} et al., Quant. Finance 21, No. 5, 797--813 (2021; Zbl 1479.91431) Full Text: DOI arXiv OpenURL
Ma, J. L.; Zhu, S. S.; Wu, Y. Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue. (English) Zbl 1479.91432 Quant. Finance 21, No. 5, 753-770 (2021). MSC: 91G45 91G10 PDF BibTeX XML Cite \textit{J. L. Ma} et al., Quant. Finance 21, No. 5, 753--770 (2021; Zbl 1479.91432) Full Text: DOI OpenURL
Ahmad, Ghufran; Rizwan, Muhammad Suhail; Ashraf, Dawood Systemic risk and macroeconomic forecasting: a globally applicable copula-based approach. (English) Zbl 1476.62217 J. Forecast. 40, No. 8, 1420-1443 (2021). MSC: 62P05 91B62 91G45 PDF BibTeX XML Cite \textit{G. Ahmad} et al., J. Forecast. 40, No. 8, 1420--1443 (2021; Zbl 1476.62217) Full Text: DOI OpenURL
Li, Tingting; Luo, Chao Signal propagation of fuzzy granule networks deriving from financial time series. (English) Zbl 1478.91183 Commun. Nonlinear Sci. Numer. Simul. 103, Article ID 105982, 15 p. (2021). MSC: 91G45 62M10 62M86 62P05 91B86 PDF BibTeX XML Cite \textit{T. Li} and \textit{C. Luo}, Commun. Nonlinear Sci. Numer. Simul. 103, Article ID 105982, 15 p. (2021; Zbl 1478.91183) Full Text: DOI OpenURL
Liu, Keqing; Fan, Qingliang Credit expansion, bank liberalization, and structural change in bank asset accounts. (English) Zbl 1475.91384 J. Econ. Dyn. Control 124, Article ID 104066, 22 p. (2021). MSC: 91G40 91G45 PDF BibTeX XML Cite \textit{K. Liu} and \textit{Q. Fan}, J. Econ. Dyn. Control 124, Article ID 104066, 22 p. (2021; Zbl 1475.91384) Full Text: DOI OpenURL
Prein, Timm M.; Scholl, Almuth The impact of bailouts on political turnover and sovereign default risk. (English) Zbl 1475.91391 J. Econ. Dyn. Control 124, Article ID 104065, 30 p. (2021). MSC: 91G45 91F10 PDF BibTeX XML Cite \textit{T. M. Prein} and \textit{A. Scholl}, J. Econ. Dyn. Control 124, Article ID 104065, 30 p. (2021; Zbl 1475.91391) Full Text: DOI OpenURL
Gutkowski, Violeta A. Sovereign illiquidity and recessions. (English) Zbl 1475.91387 J. Econ. Dyn. Control 122, Article ID 104029, 27 p. (2021). MSC: 91G45 91B64 PDF BibTeX XML Cite \textit{V. A. Gutkowski}, J. Econ. Dyn. Control 122, Article ID 104029, 27 p. (2021; Zbl 1475.91387) Full Text: DOI OpenURL
Matyska, Branka Salience, systemic risk and spectral risk measures as capital requirements. (English) Zbl 1475.91389 J. Econ. Dyn. Control 125, Article ID 104085, 29 p. (2021). MSC: 91G45 91G70 91B50 91B69 PDF BibTeX XML Cite \textit{B. Matyska}, J. Econ. Dyn. Control 125, Article ID 104085, 29 p. (2021; Zbl 1475.91389) Full Text: DOI OpenURL
Torri, Gabriele; Giacometti, Rosella; Tichý, Tomáš Network tail risk estimation in the European banking system. (English) Zbl 1475.91392 J. Econ. Dyn. Control 127, Article ID 104125, 18 p. (2021). MSC: 91G45 91G70 PDF BibTeX XML Cite \textit{G. Torri} et al., J. Econ. Dyn. Control 127, Article ID 104125, 18 p. (2021; Zbl 1475.91392) Full Text: DOI OpenURL
Nyman, Rickard; Kapadia, Sujit; Tuckett, David News and narratives in financial systems: exploiting big data for systemic risk assessment. (English) Zbl 1475.91390 J. Econ. Dyn. Control 127, Article ID 104119, 28 p. (2021). MSC: 91G45 62R07 PDF BibTeX XML Cite \textit{R. Nyman} et al., J. Econ. Dyn. Control 127, Article ID 104119, 28 p. (2021; Zbl 1475.91390) Full Text: DOI OpenURL
Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor Recalcitrant betas: intraday variation in the cross-sectional dispersion of systematic risk. (English) Zbl 1475.91386 Quant. Econ. 12, No. 2, 647-682 (2021). MSC: 91G45 62P05 91G30 PDF BibTeX XML Cite \textit{T. G. Andersen} et al., Quant. Econ. 12, No. 2, 647--682 (2021; Zbl 1475.91386) Full Text: DOI OpenURL
Banerjee, Tathagata; Feinstein, Zachary Price mediated contagion through capital ratio requirements with VWAP liquidation prices. (English) Zbl 07423005 Eur. J. Oper. Res. 295, No. 3, 1147-1160 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{T. Banerjee} and \textit{Z. Feinstein}, Eur. J. Oper. Res. 295, No. 3, 1147--1160 (2021; Zbl 07423005) Full Text: DOI arXiv OpenURL
Cappelli, Carmela; Di Iorio, Francesca; Maddaloni, Angela; D’Urso, Pierpaolo Atheoretical regression trees for classifying risky financial institutions. (English) Zbl 1477.62285 Ann. Oper. Res. 299, No. 1-2, 1357-1377 (2021). MSC: 62P05 62H22 62H25 91G45 PDF BibTeX XML Cite \textit{C. Cappelli} et al., Ann. Oper. Res. 299, No. 1--2, 1357--1377 (2021; Zbl 1477.62285) Full Text: DOI OpenURL
Cerqueti, Roy; Clemente, Gian Paolo; Grassi, Rosanna Systemic risk assessment through high order clustering coefficient. (English) Zbl 1473.91027 Ann. Oper. Res. 299, No. 1-2, 1165-1187 (2021). MSC: 91G45 PDF BibTeX XML Cite \textit{R. Cerqueti} et al., Ann. Oper. Res. 299, No. 1--2, 1165--1187 (2021; Zbl 1473.91027) Full Text: DOI arXiv OpenURL
Morelli, Giacomo Liquidity drops. (English) Zbl 1476.91211 Ann. Oper. Res. 299, No. 1-2, 711-719 (2021). MSC: 91G45 91G10 PDF BibTeX XML Cite \textit{G. Morelli}, Ann. Oper. Res. 299, No. 1--2, 711--719 (2021; Zbl 1476.91211) Full Text: DOI OpenURL
Dosi, Giovanni; Minenna, Marcello; Roventini, Andrea; Violi, Roberto Making the Eurozone work: a risk-sharing reform of the European stability mechanism. (English) Zbl 1476.91209 Ann. Oper. Res. 299, No. 1-2, 617-657 (2021). MSC: 91G45 91G05 PDF BibTeX XML Cite \textit{G. Dosi} et al., Ann. Oper. Res. 299, No. 1--2, 617--657 (2021; Zbl 1476.91209) Full Text: DOI OpenURL
Giudici, Paolo; Polinesi, Gloria Crypto price discovery through correlation networks. (English) Zbl 1476.91200 Ann. Oper. Res. 299, No. 1-2, 443-457 (2021). MSC: 91G30 91G45 PDF BibTeX XML Cite \textit{P. Giudici} and \textit{G. Polinesi}, Ann. Oper. Res. 299, No. 1--2, 443--457 (2021; Zbl 1476.91200) Full Text: DOI OpenURL
Flori, Andrea; Lillo, Fabrizio; Pammolli, Fabio; Spelta, Alessandro Better to stay apart: asset commonality, bipartite network centrality, and investment strategies. (English) Zbl 1476.91149 Ann. Oper. Res. 299, No. 1-2, 177-213 (2021). MSC: 91G10 91G45 PDF BibTeX XML Cite \textit{A. Flori} et al., Ann. Oper. Res. 299, No. 1--2, 177--213 (2021; Zbl 1476.91149) Full Text: DOI arXiv OpenURL
Clemente, Gian Paolo; Grassi, Rosanna; Hitaj, Asmerilda Asset allocation: new evidence through network approaches. (English) Zbl 1482.91193 Ann. Oper. Res. 299, No. 1-2, 61-80 (2021). Reviewer: John O’Hara (Colchester) MSC: 91G10 91G45 PDF BibTeX XML Cite \textit{G. P. Clemente} et al., Ann. Oper. Res. 299, No. 1--2, 61--80 (2021; Zbl 1482.91193) Full Text: DOI arXiv OpenURL
Feinstein, Zachary; Søjmark, Andreas Short communication: Dynamic default contagion in heterogeneous interbank systems. (English) Zbl 1476.91210 SIAM J. Financ. Math. 12, No. 4, SC83-SC97 (2021). MSC: 91G45 60K35 60H10 PDF BibTeX XML Cite \textit{Z. Feinstein} and \textit{A. Søjmark}, SIAM J. Financ. Math. 12, No. 4, SC83-SC97 (2021; Zbl 1476.91210) Full Text: DOI arXiv OpenURL
Burzoni, Matteo; Frittelli, Marco; Zorzi, Federico Short communication: Robust market-adjusted systemic risk measures. (English) Zbl 1476.91208 SIAM J. Financ. Math. 12, No. 3, SC70-SC82 (2021). MSC: 91G45 91G70 PDF BibTeX XML Cite \textit{M. Burzoni} et al., SIAM J. Financ. Math. 12, No. 3, SC70-SC82 (2021; Zbl 1476.91208) Full Text: DOI arXiv OpenURL