Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction

DOI10.1016/j.jedc.2018.07.001zbMath1402.91842arXiv1509.00607OpenAlexW3123127806WikidataQ129416016 ScholiaQ129416016MaRDI QIDQ1624485

Domenico Di Gangi, Davide Pirino, Fabrizio Lillo

Publication date: 16 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.00607

zbMATH Keywords

maximum entropyliquiditysystemic riskfinancial networksfire sales

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

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