Paolo Barucca

University of Zurich - Department of Banking and Finance

PostDoc Researcher

Schönberggasse 1

Zürich, 8001

Switzerland

London Institute for Mathematical Sciences (LIMS)

Visiting Researcher

35a South Street

London, Mayfair W1K 2XF

United Kingdom

IMT Institute for Advanced Studies

Visiting Professor

Complesso San Micheletto

Lucca, 55100

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

872

SSRN CITATIONS
Rank 21,122

SSRN RANKINGS

Top 21,122

in Total Papers Citations

23

CROSSREF CITATIONS

24

Ideas:
“  I'm currently working on systemic risk.  ”

Scholarly Papers (4)

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 566 (58,162)
Citation 38

Abstract:

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

2.

Collateral Unchained: Rehypothecation Networks, Concentration and Systemic Effects

SCIENCES PO OFCE WORKING PAPER n° 07, 2018/01/31
Number of pages: 39 Posted: 23 Feb 2018
University of Kiel- Faculty of Economics and Social Sciences, Université de Nice Sophia Antipolis - Groupe de Recherche en Droit, Economie et Gestion (GREDEG), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 120 (277,975)
Citation 5

Abstract:

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Rehypothecation, Collateral, Repo Contracts, Networks, Liquidity, Collateral- Hoarding Effects, Systemic Risk.

3.

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 94 (328,205)
Citation 10

Abstract:

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

4.

The Decline of Solvency Contagion Risk

Bank of England Working Paper No. 662
Number of pages: 22 Posted: 06 Jul 2017
Bank of England, University of Zurich - Department of Banking and Finance, Bank of England and Bank of England
Downloads 92 (332,689)
Citation 14

Abstract:

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Financial networks, systemic risk, financial contagion, macroprudential policy, stress testing