Network analysis and systemic FX settlement risk

DOI10.1515/STRM-2015-0006MaRDI QIDQ2409059zbMATH OpenOpenAlexFDO

Authors José Henry León-Janampa

Publication date 10 October 2017

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/strm-2015-0006

zbMATH Keywords

statisticsnetworksriskquantitative finance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Small world graphs, complex networks (graph-theoretic aspects) (05C82) Actuarial science and mathematical finance (91G99)

Recommendations

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Cites work

• A faster algorithm for betweenness centrality*
• Contagion in financial networks
• Fast unfolding of communities in large networks
• Networks. An introduction.

Cited in

(4)

• An analysis of settlement risk contagion in alternative securities settlement architectures
• Dynamical clustering of exchange rates
• Systemic risk contagion in FX market: a frequency connectedness and network analysis
• Risk trading, network topology and banking regulation

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