Marco D'Errico

University of Zurich

Andreasstrasse 15

Zurich, 8050

Switzerland

European Systemic Risk Board

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 9,232

in Total Papers Citations

88

CROSSREF CITATIONS

52

Scholarly Papers (9)

1.

Network Valuation in Financial Systems

Mathematical Finance, https://doi.org/10.1111/mafi.12272, 2020
Number of pages: 23 Posted: 16 Jun 2016 Last Revised: 02 Jun 2020
University of Zurich - Department of Banking and Finance, Bank of England, University College London, University of Zurich, University of Zurich - Institute of Mathematics, IMT Alti Studi Lucca and University of Zurich - Department of Banking and Finance
Downloads 580 (59,339)
Citation 38

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Financial networks, Contagion, Systemic risk, Credit risk, Mark-to-market losses

2.
Downloads 330 (115,637)
Citation 18

Compressing Over-the-Counter Markets

Number of pages: 85 Posted: 04 May 2017 Last Revised: 10 Jun 2019
Marco D'Errico, Tarik Roukny and Tarik Roukny
University of Zurich and Massachusetts Institute of Technology (MIT)KU Leuven - Faculty of Business and Economics (FEB)
Downloads 298 (128,375)
Citation 19

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over-the-counter trading, multilateral netting, derivatives, networks, financial regulation

Compressing Over-the-Counter Markets

ESRB: Working Paper Series No. 2017/44
Number of pages: 75 Posted: 05 Nov 2020
Marco D'Errico, Tarik Roukny and Tarik Roukny
University of Zurich and Massachusetts Institute of Technology (MIT)KU Leuven - Faculty of Business and Economics (FEB)
Downloads 32 (578,782)

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compression, derivatives, intermediation, networks, optimization, OTC markets

3.

Rethinking Financial Contagion

Number of pages: 54 Posted: 30 Aug 2016
Gabriele Visentin, Stefano Battiston and Marco D'Errico
University of Zurich - Institute of Mathematics, University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 270 (142,967)
Citation 7

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Financial Network, Financial Contagion, Leverage Network, Loss Conservation, Loss Amplification, Eisenberg-Noe, DebtRank

4.

Leveraging the Network: A Stress-Test Framework Based on DebtRank

Number of pages: 27 Posted: 27 Feb 2015 Last Revised: 23 Feb 2016
University of Zurich - Department of Banking and Finance, IMT Alti Studi Lucca, University of Zurich and School of Public Policy, University College London
Downloads 254 (151,926)
Citation 28

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Systemic risk, financial networks, contagion, balance-sheets, stress-tests

5.
Downloads 128 (276,717)
Citation 11

How Does Risk Flow in the Credit Default Swap Market?

ECB Working Paper No. 2041
Number of pages: 42 Posted: 24 May 2017
University of Zurich, University of Zurich - Department of Banking and Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 104 (322,825)
Citation 6

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flow-of-risk, systemic risk, credit default swap, financial networks, network architecture

How Does Risk Flow in the Credit Default Swap Market?

ESRB: Working Paper Series No. 2016/33
Number of pages: 42 Posted: 05 Nov 2020
University of Zurich, University of Zurich - Department of Banking and Finance, European Systemic Risk Board and European Central Bank (ECB)
Downloads 24 (632,544)

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flow-of-risk, systemic risk, credit default swap, financial networks, network architecture

6.

Interconnected Banks and Systemically Important Exposures

ECB Working Paper No. 2331
Number of pages: 51 Posted: 21 Nov 2019
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance, University of Zurich, Government of Canada - Bank of Canada and European Central Bank (ECB)
Downloads 97 (335,595)

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bank stress test, cross-border contagion channels, financial contagion, financial networks, financial stability, systemic risk

Mapping the Interconnectedness between EU Banks and Shadow Banking Entities

NBER Working Paper No. w23280
Number of pages: 42 Posted: 27 Mar 2017 Last Revised: 12 Aug 2021
Centre for Monetary and Financial Studies (CEMFI), University of Zurich, European Systemic Risk Board, European Banking Authority, European Central Bank (ECB), London Business School - Department of Economics and European Banking Authority
Downloads 33 (572,929)

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Mapping the Interconnectedness between EU Banks and Shadow Banking Entities

ESRB: Working Paper Series No. 2017/40
Number of pages: 43 Posted: 05 Nov 2020
Centre for Monetary and Financial Studies (CEMFI), University of Zurich, European Systemic Risk Board, European Banking Authority, European Systemic Risk Board, London Business School - Department of Economics and European Banking Authority
Downloads 18 (678,688)

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financial stability, interconnectedness, macroprudential policy, shadow banking

Mapping the Interconnectedness between EU Banks and Shadow Banking Entities

CEPR Discussion Paper No. DP11919
Number of pages: 44 Posted: 20 Mar 2017
Centre for Monetary and Financial Studies (CEMFI), University of Zurich, European Systemic Risk Board, European Banking Authority, European Central Bank (ECB), London Business School - Department of Economics and European Banking Authority
Downloads 0
Citation 1
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financial stability, interconnectedness, macroprudential, shadow banking

8.

Shedding Light on Dark Markets: First Insights from the New Eu-Wide OTC Derivatives Dataset

ESRB: Occasional Paper Series No. 2016/11
Number of pages: 45 Posted: 05 Nov 2020
Centre for Monetary and Financial Studies (CEMFI), Bank for International Settlements (BIS), London School of Economics & Political Science (LSE) - London School of Economics, University of Zurich, affiliation not provided to SSRN, European Central Bank (ECB) - Directorate General Research, European Central Bank, affiliation not provided to SSRN and Massachusetts Institute of Technology (MIT)KU Leuven - Faculty of Business and Economics (FEB)
Downloads 26 (600,595)
Citation 17

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derivatives markets, OTC, financial networks

9.

Differently Unequal: Zooming-In on the Distributional Dimensions of the Crisis in Euro Area Countries

LEQS Paper No. 86
Number of pages: 62 Posted: 17 Jan 2015
University of Zurich, London School of Economics & Political Science (LSE) and European Central Bank (ECB)
Downloads 20 (641,747)

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inequality curve, income distribution, source decomposition, extended income definition, crisis