Systemic stress test model for shared portfolio networks

Abstract We propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter as an indicator of the stability of the financial...

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Autores principales: Irena Vodenska, Nima Dehmamy, Alexander P. Becker, Sergey V. Buldyrev, Shlomo Havlin
Formato: article
Lenguaje:EN
Publicado: Nature Portfolio 2021
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Acceso en línea:https://doaj.org/article/e34544dd6712478ab8ba1a2efab23343
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