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...

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Vydané v:	Annals of operations research Ročník 299; číslo 1-2; s. 1165 - 1187
Hlavní autori:	Cerqueti, Roy, Clemente, Gian Paolo, Grassi, Rosanna
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Predmet:	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
On-line prístup:	Získať plný text
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