?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F2684%2F&rft.title=Leveraging+the+network%3A+a+stress-test+framework+based+on+DebtRank&rft.creator=Battiston%2C+Stefano+&rft.creator=D'Errico%2C+Marco&rft.creator=Gurciullo%2C+Stefano&rft.creator=Caldarelli%2C+Guido&rft.subject=HD61+Risk+Management&rft.subject=HG+Finance&rft.description=We+develop+a+novel+stress-test+framework+to+monitor+systemic+risk+in+financial+systems.+The+modular+structure+of+the+framework+allows+to+accommodate+for+a+variety+of+shock+scenarios%2C+methods+to+estimate+interbank+exposures+and+mechanisms+of+distress+propagation.+The+main+features+are+as+follows.+First%2C+the+framework+allows+to+estimate+and+disentangle+not+only+first-round+effects+(i.e.+shock+on+external+assets)+and+second-round+effects+(i.e.+distress+induced+in+the+interbank+network)%2C+but+also+third-round+effects+induced+by+possible+fire+sales.+Second%2C+it+allows+to+monitor+at+the+same+time+the+impact+of+shocks+on+individual+or+groups+of+financial+institutions+as+well+as+their+vulnerability+to+shocks+on+counterparties+or+certain+asset+classes.+Third%2C+it+includes+estimates+for+loss+distributions%2C+thus+combining+network+effects+with+familiar+risk+measures+such+as+VaR+and+CVaR.+Fourth%2C+in+order+to+perform+robustness+analyses+and+cope+with+incomplete+data%2C+the+framework+features+a+module+for+the+generation+of+sets+of+networks+of+interbank+exposures+that+are+coherent+with+the+total+lending+and+borrowing+of+each+bank.+As+an+illustration%2C+we+carry+out+a+stress-test+exercise+on+a+dataset+of+listed+European+banks+over+the+years+2008-2013.+We+find+that+second-round+and+third-round+effects+dominate+first-round+effects%2C+therefore+suggesting+that+most+current+stress-test+frameworks+might+lead+to+a+severe+underestimation+of+systemic+risk.+&rft.publisher=ArXiv&rft.date=2015-03&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.identifier=++Battiston%2C+Stefano++and+D'Errico%2C+Marco+and+Gurciullo%2C+Stefano+and+Caldarelli%2C+Guido++Leveraging+the+network%3A+a+stress-test+framework+based+on+DebtRank.++Working+Paper+++ArXiv+++++++(Submitted)+++&rft.relation=http%3A%2F%2Farxiv.org%2Fabs%2F1503.00621