|
1.
|
We study the impact of the interplay between the structure of the financial network and market conditions on financial stability in the European banking system. We captur[...]
2021 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
2.
|
Capturing financial network linkages and contagion in stress test models are important goals for banking supervisors and central banks responsible for micro- and macropru[...]
2018 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
3.
|
The agent-based model of Hałaj (2018) is calibrated to data from granular liquidity reporting by the largest banks in Canada. The model describes propagation and amplific[...]
2020 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
4.
|
We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a [...]
2022 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
5.
|
Funding risk has a systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic consequences of fu[...]
2018 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
