M
Martin Summer
Researcher at University of Vienna
Publications - 50
Citations - 3378
Martin Summer is an academic researcher from University of Vienna. The author has contributed to research in topics: Systemic risk & Interbank lending market. The author has an hindex of 20, co-authored 49 publications receiving 3137 citations.
Papers
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Journal ArticleDOI
Network topology of the interbank market
TL;DR: In this article, the authors provide an empirical analysis of the network structure of the Austrian interbank market based on Austrian Central Bank (OeNB) data and find that the degree distributions of the interbank network follow power laws.
Journal ArticleDOI
Risk Assessment for Banking Systems
TL;DR: It is found that correlation in banks' asset portfolios dominates contagion as the main source of systemic risk and the “value at risk” for a lender of last resort is surprisingly small.
Journal ArticleDOI
Risk Assessment for Banking Systems
TL;DR: In this article, the authors proposed a new approach to assess systemic financial stability of a banking system using standard tools from modern risk management in combination with a network model of interbank loans.
Journal ArticleDOI
Using Market Information for Banking System Risk Assessment
TL;DR: In this article, the authors proposed a new method for the analysis of systemic stability of a banking system relying mostly on market data, and applied their method to a dataset of the 10 major UK banks and analyzed insolvency risk over a one year horizon.
Book
How to Find Plausible, Severe and Useful Stress Scenarios
TL;DR: A measure of plausibility is suggested that is not prone to the problem of dimensional dependence of maximum loss and a way to consistently deal with situations where some but not all risk factors are stressed is derived.