An optimization model for minimizing systemic risk
DOI10.1007/S11579-020-00279-6zbMATH Open1461.91338OpenAlexW3084581283MaRDI QIDQ829210FDOQ829210
Authors: Rosella Castellano, Roy Cerqueti, Gian Paolo Clemente, Rosanna Grassi 
Publication date: 5 May 2021
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-020-00279-6
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optimizationclustering coefficientcomplex networkssystemic riskmean absolute deviationcredit default swaps
Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)
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Cited In (9)
- Generalized coefficients of clustering in (un)directed and (un)weighted networks: an application to systemic risk quantification for cryptocoin markets
- Optimizing price of credit default swaps for dynamic project system of public-private partnership
- Financial contagion in banking networks with community structure
- Preface to the special issue on systemic risk and financial networks
- Higher-order assortativity for directed weighted networks and Markov chains
- Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree
- Systemic risk models for disjoint and overlapping groups with equilibrium strategies
- Does the default pecking order impact systemic risk? Evidence from Brazilian data
- Monte Carlo within simulated annealing for integral constrained optimizations
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