Details about Grzegorz Halaj

Access statistics for papers by Grzegorz Halaj.

Last updated 2022-09-06. Update your information in the RePEc Author Service.

Short-id: pha267

Working Papers

2022

1. COVID and Financial Stability: Practice Ahead of Theory
   Discussion Papers, Bank of Canada

2021

2. Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions
   Staff Working Papers, Bank of Canada View citations (1)

2020

3. Interbank Asset-Liability Networks with Fire Sale Management
   Staff Working Papers, Bank of Canada View citations (2)
4. Simulating fire sales in a system of banks and asset managers
   Working Paper Series, European Central Bank
   See also Journal Article in Journal of Banking & Finance (2022)

2019

5. Interconnected Banks and Systemically Important Exposures
   Staff Working Papers, Bank of Canada View citations (8)
   Also in Working Paper Series, European Central Bank (2019) View citations (8)
   See also Journal Article in Journal of Economic Dynamics and Control (2021)

2018

6. Agent-based model of system-wide implications of funding risk
   Working Paper Series, European Central Bank View citations (12)

2017

7. Simulating fire-sales in a banking and shadow banking system
   ESRB Working Paper Series, European Systemic Risk Board View citations (9)
8. The missing links: A global study on uncovering financial network structures from partial data
   ESRB Working Paper Series, European Systemic Risk Board View citations (24)
   See also Journal Article in Journal of Financial Stability (2018)
9. The systemic implications of bail-in: a multi-layered network approach
   Working Paper Series, European Central Bank View citations (21)
   See also Journal Article in Journal of Financial Stability (2018)

2016

10. Bank capital structure and the credit channel of central bank asset purchases
    Working Paper Series, European Central Bank View citations (3)
11. Dynamic balance sheet model with liquidity risk
    Working Paper Series, European Central Bank View citations (4)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2016)

2014

12. Modeling emergence of the interbank networks
    Working Paper Series, European Central Bank View citations (12)
    See also Journal Article in Quantitative Finance (2015)

2013

13. A macro stress testing framework for assessing systemic risks in the banking sector
    Occasional Paper Series, European Central Bank View citations (41)
14. Assessing interbank contagion using simulated networks
    Working Paper Series, European Central Bank View citations (84)
    See also Journal Article in Computational Management Science (2013)
15. Optimal asset structure of a bank - bank reactions to stressful market conditions
    Working Paper Series, European Central Bank View citations (12)

2006

16. Contagion effect in banking system - measures based on randomised loss scenarios
    MPRA Paper, University Library of Munich, Germany
17. Risk-based decisions on assets structure of a bank — partially observed economic conditions
    MPRA Paper, University Library of Munich, Germany
18. Strategic groups in Polish banking sector and financial stability
    MPRA Paper, University Library of Munich, Germany View citations (1)

Journal Articles

2022

1. Simulating fire sales in a system of banks and asset managers
   Journal of Banking & Finance, 2022, 138, (C) View citations (1)
   See also Working Paper (2020)

2021

2. Interconnected banks and systemically important exposures
   Journal of Economic Dynamics and Control, 2021, 133, (C) View citations (3)
   See also Working Paper (2019)

2020

3. Resilience of Canadian banks to funding liquidity shocks
   Latin American Journal of Central Banking (previously Monetaria), 2020, 1, (1)

2018

4. How did the Greek credit event impact the credit default swap market?
   Journal of Financial Stability, 2018, 35, (C), 136-158 View citations (3)
5. System-wide implications of funding risk
   Physica A: Statistical Mechanics and its Applications, 2018, 503, (C), 1151-1181 View citations (9)
6. The missing links: A global study on uncovering financial network structures from partial data
   Journal of Financial Stability, 2018, 35, (C), 107-119 View citations (32)
   See also Working Paper (2017)
7. The systemic implications of bail-in: A multi-layered network approach
   Journal of Financial Stability, 2018, 38, (C), 81-97 View citations (20)
   See also Working Paper (2017)

2016

8. DYNAMIC BALANCE SHEET MODEL WITH LIQUIDITY RISK
   International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (07), 1-37 View citations (5)
   See also Working Paper (2016)
9. Systemic Implications of the European Bail-In Tool: a Multi-Layered Network Analysis
   Financial Stability Review, 2016, 1 View citations (3)

2015

10. Modelling the emergence of the interbank networks
    Quantitative Finance, 2015, 15, (4), 653-671 View citations (38)
    See also Working Paper (2014)

2013

11. Assessing interbank contagion using simulated networks
    Computational Management Science, 2013, 10, (2), 157-186 View citations (86)
    See also Working Paper (2013)
12. Gauging the Effectiveness of Cross-Sectional Macro-Prudential Tools through the Lens of Interbank Networks
    Financial Stability Review, 2013, 2 View citations (2)

2009

13. Strategic Groups and Banks’ Performance
    Financial Theory and Practice, 2009, 33, (2), 153-186 View citations (4)

2008

14. Risk-based Decisions on the Asset Structure of a Bank under Partial Economic Information
    Applied Mathematical Finance, 2008, 15, (4), 305-329