Acemoglu, Daron, Asuman Ozdaglar, and Alireza Tahbaz-Salehi. 2015. “Systemic Risk and Stability in Financial Networks.” American Economic Review 105 (2): 564–608. https://doi.org/10.1257/aer.20130456.
Google Scholar
Acharya, Viral V. 2009. “A theory of systemic risk and design of prudential bank regulation”. Journal of Financial Stability, 5 (3), s. 224–255.
Google Scholar
Acharya, Viral, and Alberto Bisin. 2014. “Counterparty Risk Externality: Centralized versus over-the-Counter Markets.” Journal of Economic Theory 149 (January): 153–82. https://doi.org/10.1016/j.jet.2013.07.001.
Google Scholar
Acharya, Viral, and Raghuram Rajan. 2022. “Liquidity, Liquidity Everywhere, Not a Drop to Use – Why Flooding Banks with Central Bank Reserves May Not Expand Liquidity.” Cambridge, MA. https://doi.org/10.3386/w29680.
Google Scholar
Adrian, T., and Brunnermeier, M. 2016. CoVaR. American Economic Review 106(7), 1705–41 (https://doi.org/10.1257/aer.20120555).
Google Scholar
Afonso, Gara, and Hyun Song Shin. 2011. “Precautionary Demand and Liquidity in Payment Systems.” Journal of Money, Credit and Banking 43 (October): 589–619. https://doi.org/10.1111/j.1538-4616.2011.00454.x.
Google Scholar
Allen, Franklin, and Douglas Gale. 2000. “Financial Contagion”. Journal of Political Economy 108: 1–33.
Google Scholar
Anand, Kartik, Prasanna Gai, Sujit Kapadia, Simon Brennan, and Matthew Willison. 2013. “A Network Model of Financial System Resilience.” Journal of Economic Behavior & Organization 85 (January): 219–35. https://doi.org/10.1016/j.jebo.2012.04.006.
Google Scholar
Andrieş, A., Nistor, S., and Sprincean, N. 2020. The Impact of Central Bank Transparency on Systemic Risk—Evidence from Central and Eastern Europe. Research in International Business and Finance 51, https://doi.org/10.1016/j.ribaf.2018.06.002.
Google Scholar
Babus, Ana. 2016. “The Formation of Financial Networks.” The RAND Journal of Economics 47 (2): 239–72. https://doi.org/10.1111/1756-2171.12126.
Google Scholar
Babus, Ana, and Tai-Wei Hu. 2017. “Endogenous Intermediation in Over-the-Counter Markets.” Journal of Financial Economics 125 (1): 200–215. https://doi.org/10.1016/j.jfineco.2017.04.009.
Google Scholar
Bank Anglii. 2022. “2022 list of UK firms designated as other systemically important institutions (O-SIIs)”. https://www.bankofengland.co.uk/prudential-regulation/publication/2022/november/2022-list-of-uk-firms-designated-as-osiisBank (dostęp 28.08.2023).
Google Scholar
Barkauskaite, A., Lakstutiene, A., and Witkowska, J. 2018. Measurement of Systemic Risk in a Common European Union Risk-Based Deposit Insurance System: Formal Necessity or Value-Adding Process? Risks 6(4), 137, https://doi.org/10.3390/risks6040137.
Google Scholar
Benoit, Sylvain, Jean-Edouard Colliard, Christophe Hurlin, and Christophe Pérignon. 2017. “Where the Risks Lie: A Survey on Systemic Risk.” Review of Finance 21 (1): 109–52. https://doi.org/10.1093/rof/rfw026.
Google Scholar
Biais, Bruno, Florian Heider, and Marie Hoerova. 2016. “Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives, and Margins.” The Journal of Finance 71 (4): 1669–98. https://doi.org/10.1111/jofi.12396.
Google Scholar
Bisias, D., Flood, M., Lo, A., and Valavanis, S. 2012. A Survey of Systemic Risk Analytics. Annual Review of Financial Economics 4(1), 255–96 (https://doi.org/10.1146/annurev-financial-110311-101754).
Google Scholar
Brownlees, Ch., and Engle, R. 2017. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk. Review of Financial Studies 30(1), 48–79 https://doi.org/10.1093/rfs/hhw060.
Google Scholar
Castiglionesi, Fabio, Noemi Navarro. 2011. “Fragile Financial Networks”. Working paper. Tilburg University, https://research.tilburguniversity.edu/en/publications/optimal-fragile-financial-networks.
Google Scholar
CFA. 2023. Systemic Risk and Management in Finance. https://www.cfainstitute.org/en/advocacy/issues/systemic-risk (dostęp 23.02.2023).
Google Scholar
Chan-Lau, Jorge A., Marco Espinosa, and Juan Sole. 2009. “On the Use of Network Analysis to Assess Systemic Financial Linkages”. Global Financial Stability Report, kwiecień. Washington, D.C.: International Monetary Fund.
Google Scholar
Chen, Daniel, and Darrell Duffie. 2021. "Market Fragmentation." American Economic Review, 111 (7): 2247-74. DOI: 10.1257/aer.20200829
Google Scholar
Cifuentes, Rodrigo, Hyun Shin, and Gianluigi Ferrucci. 2005. “Liquidity Risk and Contagion”. Journal of the European Economic Association 3: 556–66.
Google Scholar
Drehmann, Mathias, and Nikola Tarashev. 2011. “Systemic Importance: Some Simple Indicators”. BIS Quarterly Review, https://ssrn.com/abstract=1785264 (dostęp12 luty 2021).
Google Scholar
Duffie Darrell. 2014. “Financial Market Infrastructure: Too Important to Fail”. in: Martin Neil Baily and John B. Taylor (ed). Across the Great Divide: New Perspectives on the Financial Crisis. Book Chapter 11. 251–57. Hoover Institution, Stanford University.
Google Scholar
Duffie, Darrell, and Haoxiang Zhu. 2011. “Does a Central Clearing Counterparty Reduce Counterparty Risk?” Review of Asset Pricing Studies 1 (1): 74–95. https://doi.org/10.1093/rapstu/rar001.
Google Scholar
Dumicic, M. 2018. Effectiveness of Macroprudential Policies in Central and Eastern European Countries. Edited by Croatian National Bank, Zagreb, Croatia. Public Sector Economics 42(1), 1–19 https://doi.org/10.3326/pse.42.1.1.
Google Scholar
Dyrektywa Parlamentu Europejskiego i Rady 2013/36/UE z dnia 26 czerwca 2013 r. w sprawie warunków dopuszczenia instytucji kredytowych do działalności oraz nadzoru ostrożnościowego nad instytucjami kredytowymi i firmami inwestycyjnymi, zmieniająca dyrektywę 2002/87/WE i uchylająca dyrektywy 2006/48/WE oraz 2006/49/WE, https://eur-lex.europa.eu/legal-content/PL/TXT/PDF/?uri=CELEX:32013L0036&from=EL (dostęp: 12.05.2023)
Google Scholar
Europejska Rada ds. Ryzyka Systemowego, ERRS, 2023. Systemically important institutions, https://www.esrb.europa.eu/national_policy/systemically/html/index.en.html (dostęp 12.05.2023).
Google Scholar
Europejski Urząd Nadzoru Bankowego, EUNB. 2014. Guidelines on Criteria to Assess Other Systemically Important Institutions (O-SIIs) – European Banking Authority. 16 grudnia, https://eba.europa.eu/regulation-and-policy/own-funds/guidelines-on-criteria-to-to-assess-other-systemically-important-institutions-o-siis-/-/regulatory-activity/press-release (dostęp 12.05.2023).
Google Scholar
Europejski Urząd Nadzoru Bankowego, EUNB. 2023. “Global Systemically Important Institutions (G-SIIs).” https://www.eba.europa.eu/risk-analysis-and-data/global-systemically-important-institutions.
Google Scholar
Eisenberg, Larry, and Thomas H. Noe. 2001. “Systemic Risk in Financial Systems.” Management Science 47 (2): 236–49. https://doi.org/10.1287/mnsc.47.2.236.9835.
Google Scholar
Elliott, Matthew, Benjamin Golub, and Matthew O. Jackson. 2014. “Financial Networks and Contagion.” American Economic Review 104 (10): 3115–53. https://doi.org/10.1257/aer.104.10.3115.
Google Scholar
Engle, R., Capellini, R., and Reis, B. 2023. V-Lab: Systemic Risk Analysis – Summary (https://vlab.stern.nyu.edu/welcome/srisk).
Google Scholar
European Systemic Risk Board, ESRB. 2023. “Systemically Important Institutions.” https://www.esrb.europa.eu/national_policy/systemically/html/index.en.html (dostep 28.08.2023).
Google Scholar
Farboodi, Maryam. 2021. ”Intermediation and Voluntary Exposure to Counterparty Risk”. NBER Working paper No. 29467.
Google Scholar
Gai, Prasanna, 2013. "Systemic Risk: The Dynamics of Modern Financial Systems," OUP Catalogue, Oxford University Press, number 9780199544493, November.
Google Scholar
Gai, Prasanna, and Sujit Kapadia. 2010. “Contagion in Financial Networks.” Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 466 (2120): 2401–23. https://doi.org/10.1098/rspa.2009.0410.
Google Scholar
Galanos, Alexios. 2022. rmgarch: Multivariate GARCH models. R package 1.3-9. https://cran.r-project.org/web/packages/rmgarch/rmgarch.pdf.
Google Scholar
Glasserman, Paul and Peyton Young. 2015. “Contagion in Financial Networks”. Office of Financial Research Working Paper No. 15-21, October 20.
Google Scholar
Hattori A., Kikuchi K., Niwa F., Uchida Y. 2014. A survey of systemic risk measures: Methodology and application to the Japanese market. Bank of Japan IMES Discussion Paper No. 2014-E-3
Google Scholar
Hollo, D., Kremer, M., and Lo Duca, M. 2012. CISS - A Composite Indicator of Systemic Stress in the Financial System. European Central Bank Working Paper Series, 1426 https://doi.org/10.2139/ssrn.1611717.
Google Scholar
Jajuga K., Jajuga T. 2006. Inwestycje. Instrumenty finansowe, aktywa finansowe, ryzyko finansowe, inżynieria finansowa, PWN
Google Scholar
Jajuga, K., Karaś, M., Kuziak, K. and Szczepaniak, W. 2017. Ryzyko systemu finansowego. Materiały i Studia, 329.
Google Scholar
Jakubík, P., and Slačík, T. 2013. Measuring Financial (In)Stability in Emerging Europe: A New Index-Based Approach. Financial Stability Report by the Oesterreichische Nationalbank, 25, 102–17.
Google Scholar
Jočienė, A. 2015. Scandinavian Bank Subsidiaries in the Baltics: Have They All Behaved in a Similar Way? Intellectual Economics 9(1), 43–54 https://doi.org/10.1016/j.intele.2015.09.002.
Google Scholar
Kaufman, George G. 1992. “Bank Contagion: Theory and Evidence”. Working Papers Series 92-13. Issues in Financial Regulation. Research Department. Federal Reserve Bank of Chicago. June.
Google Scholar
Kobayashi, Teruyoshi. 2013. “Network versus Portfolio Structure in Financial Systems.” The European Physical Journal B 86 (10): 434. https://doi.org/10.1140/epjb/e2013-40072-9.
Google Scholar
Koeppl, Thorsten, Cyril Monnet, and Ted Temzelides. 2012. “Optimal Clearing Arrangements for Financial Trades.” Journal of Financial Economics 103 (1): 189–203. https://doi.org/10.1016/j.jfineco.2011.08.008.
Google Scholar
Karkowska, R. 2013. Systemic Risk in Central and Eastern European Banking and Its Determinants. Merton Option Model Approach. SSRN Electronic Journal https://doi.org/10.2139/ssrn.2349017.
Google Scholar
Kubinschi, M., and Barnea, D. 2016. Systemic Risk Impact on Economic Growth - the Case of the CEE Countries. Romanian Journal of Economic Forecasting, 16.
Google Scholar
Lietuvos Bankas 2019. Financial Stability Review, 1/2019, https://www.lb.lt/uploads/publications/docs/22310_a0027c03a416ff96725ed404b9cc9bcc.pdf.
Google Scholar
Lubiński, Marek 2013. “Międzynarodowy rynek pieniężny i zarażenie”, Gospodarka Narodowa. The Polish Journal of Economics 264: 19–41.
Google Scholar
Marcinkowska, M. 2023. Ryzyko w europejskim systemie bankowym, Bezpieczny Bank, 91(2), s. 8–33, doi: 10.26354/bb.1.2.91.2023.
Google Scholar
Markose, Sheri, Simone Giansante, and Ali Rais Shaghaghi. 2012. “‘Too Interconnected to Fail’ Financial Network of US CDS Market: Topological Fragility and Systemic Risk.” Journal of Economic Behavior and Organization 83 (3): 627–46. https://doi.org/10.1016/j.jebo.2012.05.016.
Google Scholar
Nier, Erlend W. and Yang, Jing and Yorulmazer, Tanju and Alentorn, Amadeo. 2008. “Network Models and Financial Stability”. Bank of England Working Paper No. 346.
Google Scholar
Pala, Melissa. 2022. “COVID-19 and the Fragmentation of the European Interbank Market” (November 23, 2022). Available at SSRN: https://ssrn.com/abstract=4268232 or http://dx.doi.org/10.2139/ssrn.4268232.
Google Scholar
R Core Team. 2021. R: A language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. https://www.R-project.org/.
Google Scholar
Radulescu, M., Logica B., and Sinisi, C. 2018. Developments of the CEE Banking Sectors after the Financial Crisis. Proceedings of the International Conference on Business Excellence 12(1), 851–63, https://doi.org/10.2478/picbe-2018-0076.
Google Scholar
Scott, Hal. S. 2012. “Interconnectedness and contagion”. Committee on Capital Markets Regulation, 16-18, November 20.
Google Scholar
Silva, Walmir, Herbert Kimura, and Vinicius Amorim Sobreiro. 2017. “An Analysis of the Literature on Systemic Financial Risk: A Survey.” Journal of Financial Stability 28 (February): 91–114. https://doi.org/10.1016/j.jfs.2016.12.004.
Google Scholar
Smaga, Piotr. 2014. ”The Concept of Systemic Risk”, Systemic Risk Centre, LSE, Special Paper Series, No. 5.
Google Scholar
System Rezerwy Federalnej. 2023. Financial Stability Report, https://www.federalreserve.gov/publications/files/financial-stability-report-20230508.pdf (dostęp 28.08.2023).
Google Scholar
Volatility Lab, Stern Business School, New York University, NYU SBS. 2023, https://vlab.stern.nyu.edu/ (dostęp 28.08.2023).
Google Scholar
Zawadowski, Adam. 2013. “Entangled Financial Systems” Review of Financial Studies, Society for Financial Studies, vol. 26(5), 1291–1323 .
Google Scholar