Grzegorz Halaj

Autre

Documents de travail

• « A macro stress testing framework for assessing systemic risks in the banking sector »
  (avec la collaboration de Henry J., Zimmermann M., Leber M., Kolb M., Grodzicki M., Amzallag A., Vouldis A., Pancaro C., Gross M., Baudino P., Sydow M., Kok C., Cabral I. et Żochowski D.), ECB Occasional Paper, n^o 152, 2013.
• « Optimal asset structure of a bank – bank reactions to stressful market conditions »
  ECB Working Papers Series, 2013, n^o 1533.
• « Bank capital structure and the credit channel of central bank asset purchases »
  (avec la collaboration de Darracq Paries M. et Kok C.), ECB Working Papers Series, 2016, n^o 1916.
• « Simulating fire-sales in a banking and shadow banking system »
  (avec la collaboration de Calimani S. et Zochowski D.), ESRB Working Paper Series, 2017, n^o 46.
• « Agent-based model of system-wide implications of funding risk »
  ECB Working Papers Series, 2018, n^o 2121.

Revues par un comité de lecture

• "Simulating fire sales in a system of banks and asset managers"
  Journal of Banking & Finance, 2019.
• "System-wide implications of funding risk"
  2018, vol. 503, p. 1151-1181.
• « Emergence of the EU corporate lending network »
  (avec la collaboration de Kochanska U. et Kok C.), Journal of Network Theory in Finance, vol. 1, n^o 1, p. 33.
• « Assessing interbank contagion using simulated networks »
  (avec la collaboration de Kok C.), Computational Management Science, 2013, vol. 10, n^o 2, p. 157-186.
• « Modelling the emergence of the interbank networks"
  (avec la collaboration de Kok C.), Quantitative Finance, 2015, vol. 15, p. 653-671.
• « Dynamic balance sheet model with liquidity risk »
  International Journal of Theoretical and Applied Finance, 2016, vol. 19, n^o 7, p. 1-37.
• « A global study on uncovering financial network structures from partial data »
  (avec la collaboration de Anand A., van Lelyveld I., Banai A., Friedrich S., Garratt R., Fique J., Hansen I., Martínez Jaramillo S., Lee H., Molina-Borboa J.L., Nobili S., Rajan S., Salakhova D., Silva T., Silvestri L. et Stancato de Souza S.R.), Journal of Financial Stability, vol. 35, avril 2018, p. 107-119.
• « The systemic implications of bail-in: A multi-layered network approach »
  (avec la collaboration de Huser A.-C., Kok C., Perales C. et van der Kraaij A.), Journal of Financial Stability, vol. 38, octobre 2018, p. 81-97.
• « How did the Greek credit event impact the credit default swap market? »
  (avec la collaboration de Peltonen T. et Scheicher M.), Journal of Financial Stability, vol. 35, avril 2018, p. 136-158.
• « Sketching a roadmap for systemic liquidity stress tests »
  (avec la collaboration de Henry J.), Journal of Risk Management in Financial Institutions, 2017, vol. 10, n^o 4, p. 319-340.

Papiers sur la Politique

• « STAMP€: Stress-Test Analytics for Macroprudential Purposes in the euro area »,
  ed. Dees S., Henry J., Martin R., (contribution to Chapters 12 and 14), 2017.
• "Analysis of Central Clearing Interdependencies, (contributor), Report to G20, FSB-CPMI-IOSCO Study Group, 2017.
• « Contagion and interbank networks »,
  (avec la collaboration de Kok C.), chapter in Computational Network Theory: Theoretical Foundations and Applications (Wiley-Blackwell), ed. Dehmer M., Emmert-Streib F., Pickl S., p. 97-136, 2015.
• "Making supervisory stress tests more macroprudential: Considering liquidity and solvency interactions and systemic risk",
  (contributor), Basel Committee on Banking Supervision, Working Paper 29, novembre 2015.
• « Systemic Valuation of Banks: Interbank Equilibrium and Contagion »,
  (chapter) Advances in Network Analysis and its Applications (Springer), ed. Kranakis E., p. 57-83, septembre 2012.
• "EU Banks' Liquidity Stress Testing and contingency funding plans",
  (contributor), European Central Bank, novembre 2008.