Compound Poisson models for weighted networks with applications in finance

DOI10.1007/s11579-020-00268-9zbMath1461.91340OpenAlexW3022575604MaRDI QIDQ829212

Axel Gandy, Luitgard Anna Maria Veraart

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/s11579-020-00268-9

zbMATH Keywords

regressionsystemic riskcompound Poisson distributionfinancial networkssubnetwork predictionweighted directed networks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (1)

Preface to the special issue on systemic risk and financial networks

Uses Software

• R

Cites Work

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