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
Poledna, S., Martínez-Jaramillo, S., Caccioli, F., & Thurner, S. (2020). Quantification of systemic risk from overlapping portfolios in the financial system. Journal of Financial Stability, p. 100808. 10.1016/j.jfs.2020.100808. (In Press)
Hochrainer-Stigler, S., Colon, C., Boza, G., Poledna, S., Rovenskaya, E. , & Dieckmann, U. (2020). Enhancing Resilience of Systems to Individual and Systemic Risk: Steps toward An Integrative Framework. International Journal of Disaster Risk Reduction 51, e101868. 10.1016/j.ijdrr.2020.101868.
Hochrainer-Stigler, S., Colon, C., Boza, G., Brännström, Å., Linnerooth-Bayer, J., Pflug, G. , Poledna, S., Rovenskaya, E. , et al. (2019). Measuring, modeling, and managing systemic risk: the missing aspect of human agency. Journal of Risk Research, 1-17. 10.1080/13669877.2019.1646312.
Hochrainer-Stigler, S., Pflug, G. , Dieckmann, U. , Rovenskaya, E. , Thurner, S., Poledna, S., Boza, G., Linnerooth-Bayer, J., et al. (2018). Integrating Systemic Risk and Risk Analysis Using Copulas. International Journal of Disaster Risk Science 9 (4), 561-567. 10.1007/s13753-018-0198-1.
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, M.V., 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. 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. 10.1016/j.jedc.2017.02.004.
Leduc, M.V., Poledna, S., & Thurner, S. (2016). Systemic Risk Management in Financial Networks with Credit Default Swaps. SSRN Electronic Journal, 1-20. 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. 10.1080/14697688.2016.1156146.
Poledna, S., Molina-Borboa, J.L., 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. 10.1016/j.jfs.2015.08.001.
International Institute for Applied Systems Analysis (IIASA)
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