Sheri M. Markose

University of Essex - Department of Economics

Wivenhoe Park

Colchester CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

12

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11

CROSSREF CITATIONS

32

Scholarly Papers (12)

Non-Performing Loans: Regulatory and Accounting Treatments of Assets

Bank of England Working Paper No. 594
Number of pages: 80 Posted: 06 May 2016
Bank of England, Centre for Commercial Law Studies, Queen Mary University of London, University of Essex - Department of Economics, University of Reading and Bank of England
Downloads 779 (34,979)
Citation 5

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Non-performing loans, impairment, loan loss provisions, bank capital, data standards, credit risk

Non-Performing Loans: Regulatory and Accounting Treatments of Assets

Bank of England Working Paper No. 594
Number of pages: 80 Posted: 25 Apr 2016
Bank of England, Centre for Commercial Law Studies, Queen Mary University of London, University of Essex - Department of Economics, Queen Mary University of London - Centre for Commercial Studies and Bank of England
Downloads 90 (320,812)
Citation 5

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Non-performing loans, impairment, loan loss provisions, bank capital, data standards, credit risk

2.

Early Warning of Systemic Risk In Global Banking: Balance Sheet Eigen-Pair and Market Price-based Methods

Number of pages: 50 Posted: 17 Jan 2017 Last Revised: 23 Sep 2020
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 270 (127,954)

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

3.

The Impact of Quantitative Easing on UK Bank Lending: Why Banks Do Not Lend to Businesses?

Number of pages: 42 Posted: 05 Jun 2018
Mahmoud Fatouh, Sheri M. Markose and Simone Giansante
Bank of England, University of Essex - Department of Economics and University of Bath - School of Management
Downloads 127 (251,039)
Citation 1

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monetary policy, quantitative easing, bank lending, agent-based modelling, gilt yields, capital adequacy requirements, risk weighted assets

4.

Systemic Risk from Global Financial Derivatives: A Network Analysis of Contagion and its Mitigation with Super-Spreader Tax

IMF Working Paper No. 12/282
Number of pages: 59 Posted: 11 Jan 2013
Sheri M. Markose
University of Essex - Department of Economics
Downloads 106 (286,055)

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Financial systems, Financial risk, Nonbank financial sector, International capital markets, Financial instruments, Systemic Risk, Financial Network, Too-Interconnected-to-Fail, Eigenvector Centrality, Super Spreader Tax.

5.

CCPs and Network Stability in OTC Derivatives Markets

Journal of Financial Stability, Forthcoming
Number of pages: 17 Posted: 26 Apr 2016
Reserve Bank of Australia - Economic Research, Reserve Bank of Australia, Bank of England, University of Essex - Department of Economics and University of Cambridge - Centre for Risk Studies
Downloads 103 (291,733)
Citation 3

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OTC derivatives reforms, Central counterparty (CCP), Netting efficiency, Collateralization

6.

Complex Type 4 Structure Changing Dynamics of Digital Agents: Nash Equilibria of a Game with Arms Race in Innovations

Number of pages: 34 Posted: 18 Jan 2017
Sheri M. Markose
University of Essex - Department of Economics
Downloads 49 (438,145)
Citation 1

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Type 4 Dynamics, Gödel Incompleteness, Gödel Sentence, Off-Line Simulation, Strategic Innovation, Novelty, Surprises; Red Queen Arms Race; Creative and Productive Sets; Productive Function; Surprise Nash Equilibrium

7.

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 44 (457,839)
Citation 1

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

8.

Financial Inclusion, At What Cost? : Quantification of Economic Viability of A Supply Side Roll Out

Number of pages: 43 Posted: 29 Sep 2020
Sheri M. Markose, Thankom Arun and Peterson K Ozili
University of Essex - Department of Economics, University of Essex - Essex Business School and Central Bank of Nigeria
Downloads 42 (466,239)

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Financial Inclusion, Economic Viability, Account Ineffectiveness, Direct Benefit Transfer, Fixed Effects Panel Regression

9.

Computability and Evolutionary Complexity: Markets as Complex Adaptive Systems (CAS)

Economic Journal, Vol. 115, No. 504, pp. F159-F192, June 2005
Number of pages: 34 Posted: 06 Jul 2005
Sheri M. Markose
University of Essex - Department of Economics
Downloads 19 (590,204)
Citation 3
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10.

Novelty Production and Evolvability in Digital Genomic Agents: Logical Foundations and Policy Design Implications of Complex Adaptive Systems

Forthcoming Chapter Prepared for: Complex Systems in the Social and Behavioral Sciences: Theory, Method and Application
Number of pages: 57 Posted: 24 Aug 2019 Last Revised: 08 May 2020
Sheri M. Markose
University of Essex - Department of Economics
Downloads 17 (603,299)

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Mirroring; Self-reference; Contrarian; Simulation; Immuno-Cognitive System; Genomic Digital System; Strategic innovation; Novelty; Surprises; Red Queen type arms race; Lucas Critique; End Independent Rules

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Extreme Events,VFTSE, Model-Free Implied Volatility, Generalized Extreme Value Distribution, Implied Tail Index, Volatility Forecasting

12.

‘Too Interconnected to Fail’ Financial Network of US CDS Market: Topological Fragility and Systemic Risk

Journal of Economic Behavior and Organization, Vol. 83, No. 3, 2012
Posted: 26 Feb 2013 Last Revised: 26 Apr 2016
Sheri M. Markose
University of Essex - Department of Economics

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Credit default swaps, Financial networks, Eigenvector centrality, Financial contagion, Systemic risk, Super-spreader tax