English

Modeling systemic risks in financial markets

Risk Management 2013-11-18 v1 Social and Information Networks Physics and Society
Authors: Abhijnan Rej
View on arXiv ↗ PDF ↗

Abstract

We survey systemic risks to financial markets and present a high-level description of an algorithm that measures systemic risk in terms of coupled networks.

Keywords

systemic risk and contagion financial market networks convex risk measures

Cite

@article{arxiv.1311.3764,
  title  = {Modeling systemic risks in financial markets},
  author = {Abhijnan Rej},
  journal= {arXiv preprint arXiv:1311.3764},
  year   = {2013}
}

Comments

9 pages, discussion paper

Related papers

View all related →
Physics and Society · Physics
A combined network and machine learning approaches for product market forecasting
Jingfang Fan, Keren Cohen, Louis M. Shekhtman, Sibo Liu +3
2018-11-27
Risk Management · Quantitative Finance
Systemic Risk in Financial Networks: A Survey
Matthew O. Jackson, Agathe Pernoud
2020-12-24
Risk Management · Quantitative Finance
Network models of financial systemic risk: A review
Fabio Caccioli, Paolo Barucca, Teruyoshi Kobayashi
2018-04-11
Trading and Market Microstructure · Quantitative Finance
Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches
V. Sasidevan, Nils Bertschinger
2019-12-12
Mathematical Finance · Quantitative Finance
Computation of systemic risk measures: a mixed-integer programming approach
Çağın Ararat, Nurtai Meimanjan
2023-08-02
Risk Management · Quantitative Finance
Assessing Systemic Risk in the Insurance Sector via Network Theory
Gian Paolo Clemente, Alessandra Cornaro
2020-11-24
Risk Management · Quantitative Finance
Controlling systemic risk - network structures that minimize it and node properties to calculate it
Sebastian M. Krause, Hrvoje Štefančić, Vinko Zlatić, Guido Caldarelli
2021-04-14
Risk Management · Quantitative Finance
Measures of Systemic Risk
Zachary Feinstein, Birgit Rudloff, Stefan Weber
2021-04-06
Risk Management · Quantitative Finance
Looking for grass-root sources of systemic risk: the case of "cheques-as-collateral" network
Michalis Vafopoulos
2011-12-07
Risk Management · Quantitative Finance
Global Balance and Systemic Risk in Financial Correlation Networks
Paolo Bartesaghi, Fernando Diaz-Diaz, Rosanna Grassi, Pierpaolo Uberti
2025-06-04
Physics and Society · Physics
Systemic risk measured by systems resiliency to initial shocks
Luka Klinčić, Vinko Zlatić, Guido Caldarelli, Hrvoje Štefančić
2023-04-13
Physics and Society · Physics
Systemic risk assessment through high order clustering coefficient
Roy Cerqueti, Gian Paolo Clemente, Rosanna Grassi
2020-07-30
Physics and Society · Physics
Understanding Financial Contagion: A Complexity Modeling Perspective
Fabio Caccioli
2025-02-21
Optimization and Control · Mathematics
Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
2024-02-23
Risk Management · Quantitative Finance
Quantification of systemic risk from overlapping portfolios in the financial system
Sebastian Poledna, Serafín Martínez-Jaramillo, Fabio Caccioli, Stefan Thurner
2018-02-02
Computational Engineering, Finance, and Science · Computer Science
Systemic Risk Identification, Modelling, Analysis, and Monitoring: An Integrated Approach
Antoaneta Sergueiva
2013-10-25
Risk Management · Quantitative Finance
Conditional risk measures in a bipartite market structure
Oliver Kley, Claudia Klüppelberg, Gesine Reinert
2015-10-05
General Finance · Quantitative Finance
Aggregation operators for the measurement of systemic risk
Jozsef Mezei, Peter Sarlin
2014-12-30
Econometrics · Economics
Systemic Risk Surveillance
Timo Dimitriadis, Yannick Hoga
2026-01-14
Portfolio Management · Quantitative Finance
Portfolio optimization with idiosyncratic and systemic risks for financial networks
Yajie Yang, Longfeng Zhao, Lin Chen, Chao Wang +1
2021-11-23
Physics and Society · Physics
Systemic risk analysis in reconstructed economic and financial networks
Giulio Cimini, Tiziano Squartini, Diego Garlaschelli, Andrea Gabrielli
2015-12-07
Risk Management · Quantitative Finance
Systematic and multifactor risk models revisited
Michel Fliess, Cédric Join
2013-12-19
Risk Management · Quantitative Finance
Network Sensitivity of Systemic Risk
Amanah Ramadiah, Domenico Di Gangi, D. Ruggiero Lo Sardo, Valentina Macchiati +5
2020-11-17
Risk Management · Quantitative Finance
The multi-layer network nature of systemic risk and its implications for the costs of financial crises
Sebastian Poledna, José Luis Molina-Borboa, Serafín Martínez-Jaramillo, Marco van der Leij +1
2015-05-19
Risk Management · Quantitative Finance
Measuring Systemic Risk: Robust Ranking Techniques Approach
Amirhossein Sadoghi
2017-02-23
R2 v1 2026-06-22T02:08:06.180Z