Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods

DOI10.1007/s10479-021-04120-1OpenAlexW3166271018MaRDI QIDQ6148815

Nicolas A. Eterovic, Simone Giansante, Mateusz Gatkowski, Sheri Markose

Publication date: 8 February 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04120-1

zbMATH Keywords

systemic riskOR in bankingearly warning signalseigen-pair analysisglobal financial networksparadoxical risk measuresstatistical market price-based risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)

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