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A dynamic approach merging network theory and credit risk techniques to assess systemic risk in financial networks
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network of exposures among banks. A potential loss distribution is...
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| Publicado no: | Sci Rep |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Nature Publishing Group UK
2018
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5883039/ https://ncbi.nlm.nih.gov/pubmed/29615684 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1038/s41598-018-23689-5 |
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