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Systemic stress test model for shared portfolio networks
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 system....
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| Publicado no: | Sci Rep |
|---|---|
| Main Authors: | , , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Nature Publishing Group UK
2021
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7870944/ https://ncbi.nlm.nih.gov/pubmed/33558573 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1038/s41598-021-82904-y |
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