Systemic risk measures

DOI10.1016/j.physa.2015.09.013zbMath1400.91246OpenAlexW2125997026MaRDI QIDQ1618913

Rodrigo Andrés de Souza Penaloza, Solange Maria Guerra, Rodrigo César de Castro Miranda, Thiago Christiano Silva, Benjamin Miranda Tabak

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.09.013

zbMATH Keywords

clusterssystemic riskjoint default indicator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Evaluating systemic risk using bank default probabilities in financial networks ⋮ Portfolio optimization with asset-liability ratio regulation constraints ⋮ A network-based dynamic analysis in an equity stock market

Cites Work

• The Pricing of Options and Corporate Liabilities
• Monitoring vulnerability and impact diffusion in financial networks
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