Sheri M. Markose

University of Essex - Department of Economics

Wivenhoe Park

Colchester CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

10

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CITATIONS
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8

Scholarly Papers (10)

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, University of London - Centre for Commercial Law Studies (CCLS), University of Essex - Department of Economics, University of Reading and Bank of England
Downloads 442 (58,958)

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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, University of London - Centre for Commercial Law Studies (CCLS), University of Essex - Department of Economics, Queen Mary University of London - Centre for Commercial Studies and Bank of England
Downloads 72 (305,997)

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

2.

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

Number of pages: 61 Posted: 17 Jan 2017 Last Revised: 25 May 2018
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 220 (128,975)

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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.

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 101 (245,757)
Citation 2

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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.

4.

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 83 (280,613)

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

5.

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
University of Essex, University of Essex - Department of Economics and University of Bath - School of Management
Downloads 31 (432,600)

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

6.

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 30 (437,097)

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

7.

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 29 (441,677)

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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

8.

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 (494,055)
Citation 6
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Extreme Events,VFTSE, Model-Free Implied Volatility, Generalized Extreme Value Distribution, Implied Tail Index, Volatility Forecasting

10.

‘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