Claverton Down
Bath, BA2 7AY
United Kingdom
http://people.bath.ac.uk/sg473/index.html
University of Bath - School of Management
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interbank loans, banking crises, systemic risk, network topology, tiering, too big to fail
Global Financial Networks, Systemic Risk, Early Warning Signals, Eigen-Pair Analysis, Statistical Market Price-Based Risk Measures, Paradoxical Risk Measures.
interbank loans, network topology, banking crises, bank failure, banking regulation
monetary policy, quantitative easing, bank lending, agent-based modelling, gilt yields, capital adequacy requirements, risk weighted assets
monetary policy, quantitative easing, bank lending
Monetary policy, quantitative easing, bank lending
Peer Group Risk Assessment; Bank Distress; Bank Business Models; Financial Crisis; Bank Balance Sheets
Credit Risk Transfer, Synthetic Securitization, Perverse Incentives, Credit Default Swaps, Collateralized Debt Obligation, Agent Based Modelling
IFRS 9, IAS 39, US GAAP, Expected credit loss model, loan loss provisions, cyclicality of bank profits, leverage ratio, risk-weighted assets
network reconstruction; financial contagion; systemic risk, bank failure, MCMC, Gibbs-Boltzmann distribution