Sheri M. Markose

University of Essex - Department of Economics

Wivenhoe Park

Colchester CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

9

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CITATIONS
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8

Scholarly Papers (9)

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 283 (89,265)

Abstract:

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 55 (321,452)

Abstract:

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

2.

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 87 (229,318)
Citation 2

Abstract:

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.

3.

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 (454,818)
Citation 6
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Abstract:

4.

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 0 (433,945)

Abstract:

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

5.

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
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 (173,449)

Abstract:

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

6.

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
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Abstract:

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

Abstract:

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

8.

‘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

Abstract:

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

9.

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 (485,985)

Abstract:

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