On the network topology of variance decompositions: measuring the connectedness of financial firms

DOI10.1016/j.jeconom.2014.04.012zbMath1311.91196MaRDI QIDQ2451806

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w17490.pdf

zbMATH Keywords

credit risk; degree distribution; market risk; risk management; systemic risk; risk measurement; portfolio allocation; asset markets

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91G70: Statistical methods; risk measures

91B82: Statistical methods; economic indices and measures

91G10: Portfolio theory

91G40: Credit risk

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