Fabio Caccioli

University College London

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 23,231

SSRN RANKINGS

Top 23,231

in Total Papers Downloads

4,162

SSRN CITATIONS
Rank 7,982

SSRN RANKINGS

Top 7,982

in Total Papers Citations

170

CROSSREF CITATIONS

46

Scholarly Papers (25)

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 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 Finance
Downloads 644 (77,876)
Citation 51

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

2.

How to Improve the Financial Architecture and Its Resilience

Number of pages: 22 Posted: 21 Jun 2014
ETH Zürich - Department of Humanities, Social and Political Sciences (GESS), London School of Economics & Political Science (LSE), Capital Fund Management, University College London, University of Oxford, University of Western Sydney - School of Economics & Finance, Columbia University School of Law, University of Kiel - Institute for World Economics (IfW), Independent, University of St. Gallen, Independent and University of the West of England (UWE)
Downloads 609 (83,449)

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financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking

3.

Analytic Solution to Variance Optimization with No Short-Selling

Number of pages: 27 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017
Imre Kondor, Gabor Papp and Fabio Caccioli
Parmenides Foundation, Eötvös Loránd University and University College London
Downloads 300 (189,556)

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Portfolio Optimization, Variance, No Short Selling

4.

Inconsistency of the Capital Asset Pricing Model in a Multi-Currency Environment

Number of pages: 13 Posted: 02 Jun 2023
Qatar Investment Authority, Qatar Investment Authority, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University College London and University College London
Downloads 195 (289,360)

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CAPM, Asset Pricing, Asset Allocation, Portfolio Construction

5.

Modelling Fire Sale Contagion Across Banks and Non-banks

Bank of England Working Paper No. 878
Number of pages: 37 Posted: 21 Jul 2020 Last Revised: 02 Mar 2021
Fabio Caccioli, Gerardo Ferrara and Amanah Ramadiah
University College London, Bank of England and Financial Network Analytics Ltd
Downloads 184 (303,245)

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Common asset holdings, fire sales, financial contagion, systemic risk

6.

Lp Regularized Portfolio Optimization

Number of pages: 27 Posted: 16 Apr 2014
University College London, Parmenides Foundation, Abdus Salam International Centre for Theoretical Physics (ICTP) and University of Hawaii
Downloads 183 (304,746)
Citation 4

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7.

Stability Analysis of Financial Contagion Due to Overlapping Portfolios

Number of pages: 25 Posted: 16 Nov 2012
University College London, University of New MexicoSanta Fe Institute, Santa Fe Institute and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 179 (310,880)
Citation 104

Abstract:

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network models, systemic risk

8.

Efficiency of central clearing under liquidity stress

Bank of England Working Paper No. 1002
Number of pages: 70 Posted: 24 Jan 2023
Marco Bardoscia, Fabio Caccioli and HAOTIAN GAO
Bank of England, University College London and affiliation not provided to SSRN
Downloads 177 (313,939)

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Financial network, systemic risk, derivatives, central counterparties, contagion

9.
Downloads 174 (318,768)
Citation 9

Reconstructing and Stress Testing Credit Networks

Number of pages: 44 Posted: 12 Dec 2017
Amanah Ramadiah, Fabio Caccioli and Daniel Fricke
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London and Deutsche Bundesbank
Downloads 137 (389,089)
Citation 7

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network reconstruction; systemic risk; bipartite credit network; aggregation level

Reconstructing and Stress Testing Credit Networks

ESRB: Working Paper Series No. 2018/84
Number of pages: 46 Posted: 05 Nov 2020
Amanah Ramadiah, Fabio Caccioli and Daniel Fricke
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London and Deutsche Bundesbank
Downloads 37 (827,581)
Citation 1

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aggregation level, bipartite credit network, network reconstruction, stress testing, systemic risk

10.
Downloads 171 (323,592)
Citation 1

Backtesting Macroprudential Stress Tests

Deutsche Bundesbank Discussion Paper No. 45/2020
Number of pages: 45 Posted: 19 Aug 2020
Amanah Ramadiah, Daniel Fricke and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science, Deutsche Bundesbank and University College London
Downloads 100 (494,016)
Citation 2

Abstract:

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systemic risk, fire sales, price-mediated contagion, common asset holdings

Backtesting Macroprudential Stress Tests

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 48 Posted: 10 Oct 2020 Last Revised: 14 Feb 2022
Amanah Ramadiah, Daniel Fricke and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science, Deutsche Bundesbank and University College London
Downloads 71 (612,183)

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systemic risk, fire sales, price-mediated contagion, common asset holdings

11.

Heterogeneity, Correlations and Financial Contagion

Number of pages: 15 Posted: 07 Sep 2011
Fabio Caccioli, Thomas A. Catanach and J. Doyne Farmer
University College London, University of Notre Dame and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 157 (348,115)
Citation 22

Abstract:

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Network Models, Systemic Risk

12.

Reverse Stress Testing Interbank Networks

Number of pages: 19 Posted: 03 Mar 2017 Last Revised: 10 Mar 2017
Daniel Grigat and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London
Downloads 155 (351,864)
Citation 4

Abstract:

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systemic risk, network models, contagion, network topology

13.

Taming the Basel Leverage Cycle

Number of pages: 40 Posted: 16 Jul 2015
London School of Economics, University College London, University of Oxford and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 155 (351,864)
Citation 6

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14.

Bias-Variance Trade-Off in Portfolio Optimization under Expected Shortfall with ℓ2 Regularization

Number of pages: 16 Posted: 17 Jan 2017
Gabor Papp, Fabio Caccioli and Imre Kondor
Eötvös Loránd University, University College London and Parmenides Foundation
Downloads 152 (357,599)
Citation 1

Abstract:

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Portfolio Optimization, Bias-Variance Trade-Off, Expected Shortfall

15.

Network Models of Financial Systemic Risk: A Review

Number of pages: 33 Posted: 13 Nov 2017
Fabio Caccioli, Paolo Barucca and Teruyoshi Kobayashi
University College London, University of Zurich - Department Finance and Department of Economics, Kobe University
Downloads 138 (386,091)
Citation 10

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financial networks, systemic risk, contagion, clearing algorithm, overlapping portfolio, interbank markets

16.

ESG Reputation Risk Matters: An Event Study Based on Social Media Data

Number of pages: 18 Posted: 26 Jul 2023 Last Revised: 22 Sep 2023
University College London - Department of Computer Science, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), University College London and University College London
Downloads 133 (397,552)

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ESG, ESG-Risk, Lexicon, Dictionary, Social media, Event study

17.

Contour Map of Estimation Error for Expected Shortfall

Number of pages: 5 Posted: 23 Feb 2015
Imre Kondor, Fabio Caccioli, Gabor Papp and Matteo Marsili
Parmenides Foundation, University College London, Eötvös Loránd University and Abdus Salam International Centre for Theoretical Physics (ICTP)
Downloads 121 (427,043)
Citation 1

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Expected Shortfall, optimization, estimation error

18.

A Percolation Model for the Emergence of the Bitcoin Lightning Network

Number of pages: 22 Posted: 30 Dec 2019
Silvia Bartolucci, Fabio Caccioli and Pierpaolo Vivo
University College London - Department of Computer Science, University College London and King’s College London - Faculty of Natural and Mathematical Sciences
Downloads 94 (510,735)
Citation 1

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Blockchain, Lightning Network, Payment Networks, Percolation, Fitness Models

19.

Upstreamness and downstreamness in input-output analysis from local and aggregate information

Number of pages: 22 Posted: 12 Nov 2020 Last Revised: 07 Feb 2024
University College London - Department of Computer Science, University College London, Government of the United States of America - Theoretical Division and King’s College London - Faculty of Natural and Mathematical Sciences
Downloads 69 (612,607)
Citation 3

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Input-Output Analysis; Leontief Coefficients; Upstreamness; Downstreamness.

20.

Fewer Questions, More Answers: Truncated Early Stopping for Proxy Means Testing

Number of pages: 43 Posted: 21 Dec 2022
University College London, World Bank, Deutsche Bundesbank and University College London
Downloads 36 (813,456)

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21.

Excess Reciprocity Distorts Reputation in Online Social Networks

Number of pages: 22 Posted: 06 Feb 2018
Giacomo Livan, Fabio Caccioli and Tomaso Aste
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London and University College London
Downloads 35 (821,257)
Citation 1

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P2P, Sharing Economy, Reputation, Reciprocity, Networks

22.

Reciprocity and Success in Academic Careers

Number of pages: 31 Posted: 22 Aug 2018
Weihua Li, Tomaso Aste, Fabio Caccioli and Giacomo Livan
Beihang University, University College London, University College London and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 34 (829,451)
Citation 1

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Network Science, Citations, Reciprocity, Rich Club, Reputation

23.

Modelling Equity Transactions as Bursty Processes

Number of pages: 28 Posted: 26 Sep 2022
Isobel Seabrook, Paolo Barucca and Fabio Caccioli
University College London, University College London and University College London
Downloads 32 (845,831)

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bursty sequences, multivariate point process, Hawkes processes, generative network model, parameter estimation, dynamic network

24.

Structural Importance and Evolution: An Application to Financial Transaction Networks

Number of pages: 9 Posted: 11 Jul 2022
Isobel Seabrook, Fabio Caccioli and Paolo Barucca
University College London, University College London and University College London
Downloads 24 (917,395)

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Temporal network, spectral perturbation, node predictability

25.

Correlation between Upstreamness and Downstreamness in Random Global Value Chains

Number of pages: 15 Posted: 19 Feb 2024
King’s College London - Faculty of Natural and Mathematical Sciences, University College London, Government of the United States of America - Theoretical Division and University College London - Department of Computer Science
Downloads 11 (1,058,976)

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Input-Output, Global Value Chain, Complexity Economics, Leontief, Upstreamness, Downstreamness