Portfolio diversification and systemic risk in interbank networks
From MaRDI portal
Publication:1655687
DOI10.1016/j.jedc.2017.01.013zbMath1401.91598OpenAlexW2592424858MaRDI QIDQ1655687
Paolo Tasca, Stefano Battiston, Andrea Deghi
Publication date: 9 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10278/3732957
Related Items
Research on systemic risk in a triple network, Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue
Cites Work
- Unnamed Item
- Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
- Dependence structure of risk factors and diversification effects
- Equilibrium asset pricing with systemic risk
- More hedging instruments may destabilize markets
- Contagion of self-fulfilling financial crises due to diversification of investment portfolios
- Systemic Risk in Financial Systems
- Risk Assessment for Banking Systems
- Note—Naive Diversification and Portfolio Risk—A Note
- The 1/n Pension Investment Puzzle
- Handbook of stochastic methods for physics, chemistry and the natural sciences.