Marco D'Errico

University of Zurich

Andreasstrasse 15

Zurich, 8050

Switzerland

European Systemic Risk Board

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

8

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1,428

SSRN CITATIONS
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Top 17,358

in Total Papers Citations

18

CROSSREF CITATIONS

37

Scholarly Papers (8)

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 - Financial Computing and Analytics Group, Department of Computer Science, University of Zurich, University of Zurich - Department of Banking and Finance, IMT Alti Studi Lucca and University of Zurich - Department of Banking and Finance
Downloads 531 (56,289)
Citation 32

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

2.

Rethinking Financial Contagion

Number of pages: 54 Posted: 30 Aug 2016
Gabriele Visentin, Stefano Battiston and Marco D'Errico
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 239 (139,235)
Citation 6

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

3.

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 233 (142,720)
Citation 23

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

4.

Compressing Over-the-Counter Markets

Number of pages: 85 Posted: 04 May 2017 Last Revised: 10 Jun 2019
Marco D'Errico and Tarik Roukny
University of Zurich and Massachusetts Institute of Technology (MIT)
Downloads 231 (143,928)
Citation 8

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

5.

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 101 (285,021)
Citation 6

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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 50 (419,090)

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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
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 26 (541,872)

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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
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financial stability, interconnectedness, macroprudential, shadow banking

8.

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 17 (582,387)

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