We present a general tractable framework for understanding the joint impact of fire sales and default cascades on systemic risk in complex financial networks. Our limit theorems quantify how price mediated contagion across institutions with common asset holding could worsen insolvencies heterogeneous network, during crisis. For given prices illiquid assets, we show that, under some regularity a...

New contagion measures based on theories of copula, heavy-tailed distributions and networks are introduced. The applied to study international stock markets during the Global Financial Crisis 2008. Having declined post-crisis, risk remains above its pre-crisis level for both advanced emerging economies. A sub-network analysis shows that shock propagated mainly from core periphery crisis. We pro...