29 September 2017
Stefan Thurner gave a talk on "Quantification of systemic risk from overlapping portfolios in the financial system" and Sebastian Poledna gave a talk on "Economic Forecasting with an Agent-based Model".
Last edited: 12 April 2018
Network models and stress testing for financial stability
The Second Conference
Systemic Risk and Network Dynamics
Pichler A, Poledna S, & Thurner S (2018). Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem. Journal of Financial Stability (In Press)
Leduc MV, Poledna S, & Thurner S (2017). Systemic risk management in financial networks with credit default swaps. The Journal of Network Theory in Finance 3 (3): 19-39. DOI:10.21314/JNTF.2017.034.
Poledna S, Bochmann O, & Thurner S (2017). Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes. Journal of Economic Dynamics and Control 77: 230-246. DOI:10.1016/j.jedc.2017.02.004.
Leduc MV, Poledna S, & Thurner S (2016). Systemic Risk Management in Financial Networks with Credit Default Swaps. SSRN Electronic Journal: 1-20. DOI:10.2139/ssrn.2713200.
Poledna S & Thurner S (2016). Elimination of systemic risk in financial networks by means of a systemic risk transaction tax. Quantitative Finance: 1-15. DOI:10.1080/14697688.2016.1156146.
Poledna S, Molina-Borboa JL, Martinez-Jaramillo S, van der Leij M, & Thurner S (2015). The multi-layer network nature of systemic risk and its implications for the costs of financial crises. Journal of Financial Stability 20: 70-81. DOI:10.1016/j.jfs.2015.08.001.
Poledna S, Thurner S, Farmer JD, & Geanakoplos J (2014). Leverage-induced systemic risk under Basle II and other credit risk policies. Journal of Banking & Finance 42 (1): 199-212. DOI:10.1016/j.jbankfin.2014.01.038.
Thurner S & Poledna S (2013). DebtRank-transparency: Controlling systemic risk in financial networks. Scientific Reports 3: no.1888. DOI:10.1038/srep01888.
International Institute for Applied Systems Analysis (IIASA)
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