Compressing over-the-counter markets

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with Tarik Roukny (Macro Connections Group, MIT)

Mapping the Interconnectedness between EU Banks and Shadow Banking Entities

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- NBER Working Paper No. 23280 (here), CEPR Discussion Paper no. 11919 (here) and ESRB Working Paper no. 40 (here)

- VoxEU column (here)

How does risk flow in the credit default swap market?

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with S. Battiston (UZH), T. Peltonen (ESRB), M. Scheicher (ECB)

- forthcoming, Journal of Financial Stability

European Central Bank Working Paper Series No 2041 (available here)

- Presented at the American Economic Association Annual Meeting, Chicago, 2017 (link here)

- Winner of the Young Scholar Award, Global Systems Science, European Commission

Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset

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with J. Abad (CEMFI), I. Aldasoro (BIS), C. Aymanns (LSE), L. Fache Rousová (ECB), P. Hoffmann (ECB), S. Langfield (ESRB), M. Neychev (ESRB), T. Roukny (ULB)

European Systemic Risk Board Occasional Paper Series n. 11

Rethinking Financial Contagion

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with G. Visentin (UZH) and S. Battiston (UZH)

Available at SSRN 2831143

Network Valuation in Financial Systems

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with P. Barucca (LIMS), M. Bardoscia (LIMS), F. Caccioli (UCL), G. Visentin (UZH), S. Battiston (UZH), G. Caldarelli (IMT)

Available at SSRN 2795583

DebtRank and the Network of Leverage

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with S. Battiston (UZH) and S. Gurciullo (UCL)

Journal of Alternative Investments, Spring 2016

Online version

Opinion Dynamics and Price Formation: a Nonlinear Network Model

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with G. Muradoglu (QMUL), S. Stefani (Unimib), G. Zambruno (Unimib)

Available online

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© 2016 by Marco D'Errico