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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1,998

SSRN CITATIONS
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SSRN RANKINGS

Top 9,058

in Total Papers Citations

85

CROSSREF CITATIONS

55

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 604 (66,378)
Citation 38

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

2.
Downloads 369 (119,519)
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 315 (141,028)
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 54 (541,092)

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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 299 (149,751)
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 266 (169,373)
Citation 29

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

5.
Downloads 152 (279,556)
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 113 (351,524)
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 39 (620,196)

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

6.

Interconnected Banks and Systemically Important Exposures

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 124 (327,233)

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

7.

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), European Central Bank, affiliation not provided to SSRN and Massachusetts Institute of Technology (MIT)KU Leuven - Faculty of Business and Economics (FEB)
Downloads 96 (389,580)
Citation 17

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derivatives markets, OTC, financial networks

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 2022
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 39 (620,196)

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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 26 (710,505)

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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

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 23 (713,492)

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