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Simone Giansante

University of Bath - School of Management

Claverton Down

Bath, BA2 7AY

United Kingdom

http://people.bath.ac.uk/sg473/index.html

  • University of Bath - School of Management

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

Liquidity and Solvency Shocks in a Network Model of Systemic Risk: The Impact of Minimum Capital and Reserve Requirements

25th Australasian Finance and Banking Conference 2012
Number of pages: 38 Posted: 22 Aug 2012 Last Revised: 20 Nov 2012
Andreas Krause and Simone Giansante
University of Bath and University of Bath - School of Management
Downloads 226 (100,728)

Abstract:

interbank loans, network topology, banking crises, bank failure, banking regulation

2.

Interbank Lending and the Spread of Bank Failures: A Network Model of Systemic Risk

Journal of Economic Behavior and Organization 83(3), pp. 583-608
Number of pages: 43 Posted: 29 May 2012 Last Revised: 21 Nov 2012
Andreas Krause and Simone Giansante
University of Bath and University of Bath - School of Management
Downloads 214 (97,431)

Abstract:

interbank loans, banking crises, systemic risk, network topology, tiering, too big to fail

3.

Early Warning and Systemic Risk in Core Global Banking: Balance Sheet Financial Network and Market Price-Based Methods

Number of pages: 49 Posted: 17 Jan 2017 Last Revised: 24 Mar 2017
Sheri M. Markose, Simone Giansante, Nicolas A. Eterovic and Mateusz Gatkowski
University of Essex - Department of Economics, University of Bath - School of Management, University of Essex and University of Essex - Centre for Computational Finance and Economic Agents
Downloads 0 (199,156)

Abstract:

Global Financial Networks, Systemic Risk, Early Warning Signals, Eigen-Pair Analysis, Statistical Market Price-Based Risk Measures, Paradoxical Risk Measures

4.

Peer-Group Detection of Banks and Resilience to Distress

IMT LUCCA EIC WORKING PAPER SERIES 06 December 2016
Number of pages: 85 Posted: 08 Dec 2016 Last Revised: 14 Dec 2016
Andrea Flori, Simone Giansante and Fabio Pammolli
IMT Institute for Advanced Studies, University of Bath - School of Management and IMT Institute for Advanced Studies
Downloads 0 (345,905)

Abstract:

Peer Group Risk Assessment; Bank Distress; Bank Business Models; Financial Crisis; Bank Balance Sheets

5.

Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO): Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis

Simulation in Computational Finance and Economics: Tools and Emerging Applications, Alexandrova-Kabadjova B., S. Martinez-Jaramillo, A. L. Garcia-Almanza, E. Tsang, eds., IGI Global, August 2012
Number of pages: 33 Posted: 26 Feb 2013 Last Revised: 26 Apr 2016
Sheri M. Markose, Bewaji Oluwasegun and Simone Giansante
University of Essex - Department of Economics, University of Essex - Centre for Computational Finance and Economic Agents and University of Bath - School of Management
Downloads 0 (487,554)

Abstract:

Credit Risk Transfer, Synthetic Securitization, Perverse Incentives, Credit Default Swaps, Collateralized Debt Obligation, Agent Based Modelling

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