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Systemic stress test model for shared portfolio networks
We propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter as an indicator of the stability of the financial system....
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Nature Publishing Group UK
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7870944/ https://www.ncbi.nlm.nih.gov/pubmed/33558573 http://dx.doi.org/10.1038/s41598-021-82904-y |