Systemic risk assessment through high order clustering coefficient

In this article we propose a novel measure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic risk which is based on the structure, developed at different levels, of clustered neighbours around the nodes of the network. The proposed measure incorp...

Full description

Saved in:

Bibliographic Details
Published in:	Annals of operations research Vol. 299; no. 1-2; pp. 1165 - 1187
Main Authors:	Cerqueti, Roy, Clemente, Gian Paolo, Grassi, Rosanna
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Subjects:	Banking Business and Management Clustering Combinatorics Evaluation Market risk Methods Operations research Operations Research/Decision Theory Risk assessment S.I.: Recent Developments in Financial Modeling and Risk Management Theory of Computation Italy Cross-border banking G20 C02 Network analysis Systemic risk Clustering coefficient Community structures G28
ISSN:	0254-5330, 1572-9338
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!