Stefan Thurner

Institute for Science of Complex Systems, Medical University of Vienna

Spitalgasse 23

Vienna, A-1090

Austria

Santa Fe Institute

1399 Hyde Park Road

Santa Fe, NM 87501

United States

SCHOLARLY PAPERS

5

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CITATIONS
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15

Scholarly Papers (5)

1.
Downloads 487 ( 56,506)
Citation 21

Leverage Causes Fat Tails and Clustered Volatility

Cowles Foundation Discussion Paper No. 1745R
Number of pages: 15 Posted: 23 Nov 2011
Stefan Thurner, J. Doyne Farmer and John Geanakoplos
Institute for Science of Complex Systems, Medical University of Vienna, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Yale University - Cowles Foundation
Downloads 285 (104,680)

Abstract:

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Systemic risk, Clustered volatility, Fat tails, Crash, Margin calls, Leverage

Leverage Causes Fat Tails and Clustered Volatility

Cowles Foundation Discussion Paper No. 1745
Number of pages: 20 Posted: 11 Jan 2010 Last Revised: 18 Mar 2010
Stefan Thurner, J. Doyne Farmer and John Geanakoplos
Institute for Science of Complex Systems, Medical University of Vienna, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Yale University - Cowles Foundation
Downloads 202 (148,345)
Citation 36

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Systemic risk, Clustered volatility, Fat tails, Crash, Margin calls, Leverage

2.

Banking Regulation and Network-Topology Dependence of Iterative Risk-Trading Games

Number of pages: 21 Posted: 22 Mar 2002
Rudolf Hanel, Stefan Thurner and Stefan Pichler
University of Vienna - Department of Biomedical Engineering and Physics, Institute for Science of Complex Systems, Medical University of Vienna and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 223 (135,239)
Citation 6

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Banking Regulation, Bank Default, Network-topology Dependence, Risk-trading Game, Dynamic Decision Making Process

3.

Systemic Risk Management in Financial Networks with Credit Default Swaps

Number of pages: 21 Posted: 11 Jan 2016 Last Revised: 14 Oct 2017
Matt V. Leduc, Sebastian Poledna and Stefan Thurner
Paris School of Economics (PSE) / Université Paris 1, International Institute for Applied Systems Analysis (IIASA) and Institute for Science of Complex Systems, Medical University of Vienna
Downloads 208 (144,518)
Citation 3

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Systemic Risk, Credit Default Swaps, DebtRank, Agent-Based Models, Multiplex Networks, Interbank Systems

4.

Incentivizing Resilience in Financial Networks

Journal of Economic Dynamics and Control, 2017
Number of pages: 39 Posted: 13 Jun 2016 Last Revised: 24 Jun 2017
Matt V. Leduc and Stefan Thurner
Paris School of Economics (PSE) / Université Paris 1 and Institute for Science of Complex Systems, Medical University of Vienna
Downloads 51 (380,104)
Citation 2

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Systemic Risk, Interbank Networks, Insolvency Cascades, Network Formation, Matching Markets, Transaction-Specific Tax, Market Design

5.

What is the Minimal Systemic Risk in Financial Exposure Networks?

INET Oxford Working Paper
Number of pages: 25 Posted: 06 Jun 2019
Christian Diem, Anton Pichler and Stefan Thurner
Vienna University of Economics and Business, affiliation not provided to SSRN and Institute for Science of Complex Systems, Medical University of Vienna
Downloads 10 (574,353)

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systemic risk-efficiency, interbank market, financial networks, contagion, network optimization, mixed-integer linear programming, DebtRank