Systemic risk of portfolio diversification

DOI10.1016/J.ECONLET.2021.110091zbMath1471.91611OpenAlexW3198946702MaRDI QIDQ2236296

Kohei Maehashi

Publication date: 22 October 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110091

zbMATH Keywords

systemic riskstress testbipartite networknetwork reconstruction

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Reconstructing and stress testing credit networks
• Filling in the blanks: network structure and interbank contagion
• Analytical maximum-likelihood method to detect patterns in real networks

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