A dynamic approach merging network theory and credit risk techniques to assess systemic risk in financial networks

The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network of exposures among banks. A potential loss distribution is...

Descripción completa

Detalles Bibliográficos
Autores principales: Petrone, Daniele, Latora, Vito
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Nature Publishing Group UK 2018
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5883039/
https://www.ncbi.nlm.nih.gov/pubmed/29615684
http://dx.doi.org/10.1038/s41598-018-23689-5

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5883039/
https://www.ncbi.nlm.nih.gov/pubmed/29615684
http://dx.doi.org/10.1038/s41598-018-23689-5

Ejemplares similares