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Minca. Stress testing the resilience of financial networks.International Journal of Theoretical and Applied Finance, 15(1), 2012. ... Toappear in Journal of Financial Economics, 2014. [15] D. Duffie and H.

Teruyoshi Kobayashi. Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada, Kobe 657-8501, Japan(Dated: January 22, 2015). ... Kapadia, Journal of Monetary Economics 58, 453 (2011).[5] C. Upper, Journal of Financial Stability 7, 111 (2011).[6]

One could wonder whether model uncertainty deserves a separate treatmentfrom other sources of uncertainty in financial markets. ... 9. 3 Model uncertainty in the context of derivativevaluation. Stochastic models of financial markets usually represent the

1.2 Summary and main findings. We present a framework for quantitative modeling of fire sales in a network of financial in-stitutions with common asset holdings, subject to leverage or ... The capital (equity) of financial institution i is denoted Ci and

versity, Epinal Way, Loughborough LE11 3TU, UK, email: a.k.l.milne@lboro.ac.uk‡ Faculty of Economics, University of Cambridge, Cambridge, UK. ... meetings, the University of Durham, BristolUniversity, London School of Economics and internal seminar and

Email: suarez@cemfi.es. †Banque de France - Financial Stability Department.‡Czech National Bank.Banco de Portugal - Economics and Research Department; and UECE.Deutsche Bundesbank, Research Department.kEuropean Central Bank - DG ... channel of

works of financial firms, connected by bilateral links and via a single CCP. ... 1. the most realistic representation of financial systems). In such systems, the contagion risk (and.