An optimization model for minimizing systemic risk

DOI10.1007/S11579-020-00279-6zbMath1461.91338OpenAlexW3084581283MaRDI QIDQ829210

Gian Paolo Clemente, Roy Cerqueti, Rosella Castellano, Rosanna Grassi

Publication date: 5 May 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-020-00279-6

zbMATH Keywords

optimizationcomplex networksclustering coefficientsystemic riskmean absolute deviationcredit default swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (3)

Preface to the special issue on systemic risk and financial networks ⋮ Does the default pecking order impact systemic risk? Evidence from Brazilian data ⋮ Financial contagion in banking networks with community structure

Uses Software

• R

Cites Work

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