2012 global banking glut and loan risk premium

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

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....
View Full Document

This document was uploaded on 02/20/2014 for the course ECON 101 at Pontificia Universidad Católica de Chile.

Ask a homework question - tutors are online