smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2026SMQ / 104759204888381
Systemic Risk in Financial Networks Revisited: Debt Dilution as a Backdoor Bail-in
Giorgia Piacentino / Jason Roderick Donaldson / Xiaobo Yu
banking / financial networksResource overview

Systemic Risk in Financial Networks Revisited: Debt Dilution as a Backdoor Bail-in

Paper2026

by Giorgia Piacentino, Jason Roderick Donaldson, Xiaobo Yu

Tags
bankingfinancial networksfinancial stabilityliquidity risksystemic risk

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for risk measurement and stress and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Quantitative Risk Management Explore Counterparty Credit Risk and CVA

Keep exploring

Related resources

More ideas from similar topics.

6