Fabio Caccioli

University College London

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

19

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2,417

SSRN CITATIONS
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Top 9,405

in Total Papers Citations

92

CROSSREF CITATIONS

41

Scholarly Papers (19)

1.

Network Valuation in Financial Systems

Mathematical Finance, https://doi.org/10.1111/mafi.12272, 2020
Number of pages: 23 Posted: 16 Jun 2016 Last Revised: 02 Jun 2020
University of Zurich - Department of Banking and Finance, Bank of England, University College London, University of Zurich, University of Zurich - Institute of Mathematics, IMT Alti Studi Lucca and University of Zurich - Department of Banking and Finance
Downloads 568 (58,202)
Citation 38

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Financial networks, Contagion, Systemic risk, Credit risk, Mark-to-market losses

2.

How to Improve the Financial Architecture and Its Resilience

Number of pages: 22 Posted: 21 Jun 2014
ETH Zürich - Department of Humanities, Social and Political Sciences (GESS), London School of Economics & Political Science (LSE), Capital Fund Management, University College London, University of Oxford, University of Western Sydney - School of Economics & Finance, Columbia University School of Law, University of Kiel - Institute for World Economics (IfW), Independent, University of St. Gallen, Independent and University of the West of England (UWE)
Downloads 482 (71,117)

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financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking

3.

Lp Regularized Portfolio Optimization

Number of pages: 27 Posted: 16 Apr 2014
University College London, Parmenides Foundation, Abdus Salam International Centre for Theoretical Physics (ICTP) and University of Hawaii
Downloads 155 (227,710)
Citation 4

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4.

Stability Analysis of Financial Contagion Due to Overlapping Portfolios

Number of pages: 25 Posted: 16 Nov 2012
University College London, Santa Fe Institute, Santa Fe Institute and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 138 (250,350)
Citation 66

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network models, systemic risk

5.

Analytic Solution to Variance Optimization with No Short-Selling

Number of pages: 27 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017
Imre Kondor, Gabor Papp and Fabio Caccioli
Parmenides Foundation, Eötvös Loránd University and University College London
Downloads 133 (257,574)

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Portfolio Optimization, Variance, No Short Selling

6.

Heterogeneity, Correlations and Financial Contagion

Number of pages: 15 Posted: 07 Sep 2011
Fabio Caccioli, Thomas A. Catanach and J. Doyne Farmer
University College London, University of Notre Dame and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 125 (269,864)
Citation 22

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Network Models, Systemic Risk

7.
Downloads 122 (274,813)
Citation 7

Reconstructing and Stress Testing Credit Networks

Number of pages: 44 Posted: 12 Dec 2017
Amanah Ramadiah, Fabio Caccioli and Daniel Fricke
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London and Deutsche Bundesbank
Downloads 112 (293,580)
Citation 7

Abstract:

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network reconstruction; systemic risk; bipartite credit network; aggregation level

Reconstructing and Stress Testing Credit Networks

ESRB: Working Paper Series No. 2018/84
Number of pages: 46 Posted: 05 Nov 2020
Amanah Ramadiah, Fabio Caccioli and Daniel Fricke
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London and Deutsche Bundesbank
Downloads 10 (714,743)
Citation 1

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aggregation level, bipartite credit network, network reconstruction, stress testing, systemic risk

8.

Taming the Basel Leverage Cycle

Number of pages: 40 Posted: 16 Jul 2015
London School of Economics & Political Science (LSE) - London School of Economics, University College London, University of Oxford and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 119 (279,833)
Citation 2

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9.

Reverse Stress Testing Interbank Networks

Number of pages: 19 Posted: 03 Mar 2017 Last Revised: 10 Mar 2017
Daniel Grigat and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London
Downloads 117 (283,238)
Citation 2

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systemic risk, network models, contagion, network topology

10.

Bias-Variance Trade-Off in Portfolio Optimization under Expected Shortfall with ℓ2 Regularization

Number of pages: 16 Posted: 17 Jan 2017
Gabor Papp, Fabio Caccioli and Imre Kondor
Eötvös Loránd University, University College London and Parmenides Foundation
Downloads 111 (295,759)
Citation 1

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Portfolio Optimization, Bias-Variance Trade-Off, Expected Shortfall

11.

Network Models of Financial Systemic Risk: A Review

Number of pages: 33 Posted: 13 Nov 2017
Fabio Caccioli, Paolo Barucca and Teruyoshi Kobayashi
University College London, University of Zurich - Department of Banking and Finance and Department of Economics, Kobe University
Downloads 95 (326,138)
Citation 10

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financial networks, systemic risk, contagion, clearing algorithm, overlapping portfolio, interbank markets

12.

Contour Map of Estimation Error for Expected Shortfall

Number of pages: 5 Posted: 23 Feb 2015
Imre Kondor, Fabio Caccioli, Gabor Papp and Matteo Marsili
Parmenides Foundation, University College London, Eötvös Loránd University and Abdus Salam International Centre for Theoretical Physics (ICTP)
Downloads 71 (387,600)
Citation 1

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Expected Shortfall, optimization, estimation error

13.

A Percolation Model for the Emergence of the Bitcoin Lightning Network

Number of pages: 22 Posted: 30 Dec 2019
Silvia Bartolucci, Fabio Caccioli and Pierpaolo Vivo
University College London - Department of Computer Science, University College London and King's College London - Faculty of Natural and Mathematical Sciences
Downloads 59 (426,397)
Citation 1

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Blockchain, Lightning Network, Payment Networks, Percolation, Fitness Models

14.

Modelling Fire Sale Contagion Across Banks and Non-banks

Bank of England Working Paper No. 878
Number of pages: 37 Posted: 21 Jul 2020 Last Revised: 02 Mar 2021
Fabio Caccioli, Gerardo Ferrara and Amanah Ramadiah
University College London, Bank of England and Financial Network Analytics Ltd
Downloads 49 (463,535)

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Common asset holdings, fire sales, financial contagion, systemic risk

Backtesting Macroprudential Stress Tests

Deutsche Bundesbank Discussion Paper No. 45/2020
Number of pages: 45 Posted: 19 Aug 2020
Amanah Ramadiah, Daniel Fricke and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science, Deutsche Bundesbank and University College London
Downloads 22 (621,256)

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systemic risk, fire sales, price-mediated contagion, common asset holdings

Backtesting Macroprudential Stress Tests

Number of pages: 41 Posted: 10 Oct 2020
Amanah Ramadiah, Daniel Fricke and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science, Deutsche Bundesbank and University College London
Downloads 13 (690,365)

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systemic risk, fire sales, price-mediated contagion, common asset holdings

16.

Inversion-Free Leontief Inverse: Statistical Regularities in Input-Output Analysis From Partial Information

Number of pages: 45 Posted: 12 Nov 2020 Last Revised: 14 Nov 2020
University College London - Department of Computer Science, University College London, Government of the United States of America - Theoretical Division and King's College London - Faculty of Natural and Mathematical Sciences
Downloads 18 (629,174)

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Input-Output Analysis; Leontief Coefficients

17.

Excess Reciprocity Distorts Reputation in Online Social Networks

Number of pages: 22 Posted: 06 Feb 2018
Giacomo Livan, Fabio Caccioli and Tomaso Aste
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London and University College London
Downloads 11 (679,842)
Citation 1

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P2P, Sharing Economy, Reputation, Reciprocity, Networks

18.

Reciprocity and Success in Academic Careers

Number of pages: 31 Posted: 22 Aug 2018
Weihua Li, Tomaso Aste, Fabio Caccioli and Giacomo Livan
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London, University College London and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 9 (694,953)
Citation 1

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Network Science, Citations, Reciprocity, Rich Club, Reputation

19.

Network Valuation in Financial Systems

Mathematical Finance, Vol. 30, Issue 4, pp. 1181-1204, 2020
Number of pages: 24 Posted: 07 Oct 2020
University College London, Bank of England, University College London, European Central Bank (ECB), University of Zurich - Institute of Mathematics, University of Zurich - Department of Banking and Finance and IMT Alti Studi Lucca
Downloads 0 (781,920)
Citation 3
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contagion, credit risk, financial networks, mark‐to‐market losses, systemic risk