Financial Networks, Contagion and Systemic Risk

  April 20 2017   

     Sheri Markose, Simone Giansante and Ali Rais Shaghaghi  

     A Systemic Risk Assessment of OTC Derivatives Reforms and Skin-in-the-game for  CCPs.                           

            (See,  http://www.essex.ac.uk/economics/documents/sheri-paper.pdf   )   

   Published in 2017 Banque de France Financial Stability Review

    The FSR analyses the impact of financial reforms eight years after the adoption of the G10 action plan in 2009.

                From 20 April 2017, the FSR can be accessed from Banque de France’s website

 

      

    January 2017 

    Markose, S.M, Giansante, S., Eterovic, N., Gatkowksi, M.

    Early Warning and Systemic Risk in Core Global Banking: Balance Sheet Financial Network and Market Price-Based Methods,

    Available at https://ssrn.com/abstract=2899930

 

    April 21 2016

  Sheri Markose, with David Bholat, Rosa Lastra,  Andrea Miglionico and Kallol Sen      

   Non-performing loans: regulatory and accounting treatments of assets  

     Bank of England Staff Papers No. 594, April 2016 (79 pages)

 

  Dec 2015

   CCPs and Network Stability in OTC Derivatives Markets

    Alexandra Heath*, Gerard Kelly*, Mark Manning*, Sheri Markose+ and Ali Rais Shaghaghi+ , *Reserve Bank of Australia , +University of Essex ,

    http://dx.doi.org/10.1016/j.jfs.2015.12.004      Journal of Financial Stability .

 

 

  August 2013

   Sheri M. Markose
   Systemic Risk Analytics: A Data Driven Multi-Agent Financial Network (MAFN) Approach
   Published Journal of Banking Regulation, August 2013
. PDF

   Vol.14, 3/4, p.285-305, Special Issue on Regulatory Data and
                               Systemic Risk Analytics
   

 

The following two papers set out the eigen-pair (the dominant eigen-value and corresponding eigen-vector centrality) analysis to quantify systemic risk or instability from large financial networks

and determine the contribution to systemic risk by financial intermediaries.

 

     May 2012 

"Too Interconnected To Fail Financial Network of US CDS Market: Topological Fragility and Systemic Risk"

Sheri Markose, Ali Rais Shaghaghi and Simone Giansante

Journal of Economic Behavior and Organization (JEBO), May 2012.

http://www.sciencedirect.com/science/article/pii/S0167268112001254

 

 

Markose, S.M, 2012 November, "Systemic Risk from Global Financial Derivatives:
                   
 A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax
                     International Fund Working Paper No. 12/282, November 2012.
    http://www.imf.org/external/pubs/cat/wp1_sp.aspx?s_year=2012&e_year=2012&brtype=default

 

 

"Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO): Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis"

Sheri Markose , Bewaji Olewasegun and Simone Giansante 

http://www.essex.ac.uk/economics/discussion-papers/Papers-text/dp714.pdf

Economics Department Discussion Paper, No. 714, May 2012

Chapter in Simulation in Computational Finance and Economics: Tools and Emerging Applications   Editor(s):  Alexandrova-Kabadjova B., S. Martinez-Jaramillo, A. L. Garcia-Almanza, E. Tsang, IGI Global, August 2012.


 
Markose, S.M, S. Giansante, M. Gatkowski and A. R. Shaghagi, Too Interconnected To Fail: Financial contagion and systemic risk In network Model of CDS and other credit enhancement obligations of US banks, Economics Department, University of Essex, DP 683, 2010 Feb http://www.essex.ac.uk/economics/discussion-papers/Papers-text/dp683.pdf

Papers in preparation:

 

Multi-agent Financial Network Models and Systemic Risk Management: A New Complexity Perspective Sheri Markose
First draft 2010 November.

 

Pigou Tax of Systemic Important Financial Intermediaries In Financial Networks: An Empirical Application of Systemic Risk Monitoring and Governance
Sheri Markose
, University of Essex, UK;  Simone Giansante, University of Bath, UK  (Presented at the Workshop Twenty Years after Cadbury, Ten Years after Sarbanes-Oxley:
Challenges of Corporate Governance, 24-25 June 2013
, Bath Management School)
Discussant:  G. Nathan Dong, Columbia University, USA - PDF