We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank’s privately optima[...]

Capturing financial network linkages and contagion in stress test models are important goals for banking supervisors and central banks responsible for micro- and macropru[...]

The network pattern of financial linkages is important in many areas of banking and finance. Yet, bilateral linkages are often unobserved, and maximum entropy serves as t[...]

Bank debt guarantees have traditionally been viewed as costless measures to prevent bank runs. However, as recent experiences in some European countries have demonstrated[...]

The entropy of network ensembles characterizes the amount of information encoded in the network structure and can be used to quantify network complexity and the relevance[...]

Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of[...]

We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of g[...]