OFRwp0009_GlassermanYoung_HowLikelyContagionFinancialNetworks

2012 global banking glut and loan risk premium

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Unformatted text preview: Management Science 47, 236–249. [15] Elliott, M., Golub, B., and Jackson, M.O. (2013) Financial Networks and Contagion. Working Paper, California Institute of Technology, Pasadena, California. [16] Elsinger, H., Lehar, A., and Summer, M. (2006). Risk Assessment for Banking Systems, Management Science 52, 1301–1314. [17] European Banking Authority (2011), EU-Wide Stress Test Results. Available at www.eba.europa.eu. [18] Furfine, C. (2003). Interbank Exposures: Quantifying the Risk of Contagion, Journal of Money, Credit and Banking 35, 11–128. [19] Gai, P., Haldane, A., and Kapadia, S. (2011). Complexity, Concentration, and Contagion, Journal of Monetary Economics 58, 453–470. 29 [20] Gai, P., and Kapadia, S. (2010). Contagion in Financial Networks, Proceedings of the Royal Society A 466, 2401-2423. [21] Georg, C.-P. (2011). The Effect of the Interbank Network Structure on Contagion and Common Shocks, Deutsche Bundesbank Discussion Paper Series 2: Banking and Financial Studies, No. 12/2011. [22] Goodhart, C.A.E., Sunirand, P., and Tsomocos, D. P. (2004). A Model to Analyse Financial Fragility: Applications, Journal of Financial Stability 1, 1-30. [23] Haldane, A. G., and May, R. M. (2011). Systemic Risk in Banking Ecosystems, Nature 469, 351-355. [24] Harris, T. S., Herz, R.H., and Nissim, D. (2012) Accounting’s Role in the Reporting, Creation, and Avoidance of Systemic Risk in Financial Institutions. In The Handbook of Systemic Risk (eds. J.P-Fouqe and J. Langsam), Cambridge University Press. [25] International Monetary Fund (2012). Global Financial Stability Report: Restoring Confidence and Progressing on Reforms. Available at www.imf.org/external/pubs/ft/gfsr. [26] Liu, M., and Staum, J. (2012). Systemic Risk Components in a Network Model of Contagion. Available at SSRN: http://ssrn.com/abstract=1726107. [27] Marshall, A.W., and Olkin, I. (1974). Majorization in Multivariate Distributions. The Annals of Statistics 2, 1189-1200. [28] Morris, S. (2000). Contagion. Review of Economic Studies 67, 57-78. [29] Newman, M. (2010). Networks: An Introduction. Oxford University Press, USA. [30] Nier, E., Yang, J., Yorulmazer, T., and Alentorn, A. (2007) Network Models and Financial Stability, Journal of Economic Dynamics and Control 31, 2033-2060. [31] Office of Financial Research (2012). Annual Report. Available at www.treasury.gov/ofr. [32] Ramos Romer, H.M., and Sordo Diaz, M.A. (2001) The Proportional Likelihood Ratio Order and Applications. QUESTIIO 25, 211-223. [33] Rogers, L.C.G., and Veraart, L.A.M. (2012). Failure and Rescue in an Interbank Network. Management Science, in press. [34] Shin, H. (2012) Global Banking Glut and Loan Risk Premium. Mundell-Fleming Lecture, International Monetary Fund, Washington, D.C. 30 [35] Shleifer, A., and Vishny, R. (2011). Fire Sales in Finance and Economics. Journal of Economic Perspectives 25, 29–48. [36] Tasche, D. (2008). The Vasicek Distribution. Available at wwwold-m4.ma.tum.de/pers/tasche/. [37] Upper, C., (2011). Simulation Methods to Assess the Danger of Contagion in Interbank Markets, Journal of Financial Stability 7, 111-125....
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