Measuring systemic risk and contagion in the European financial network
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DOI: 10.1007/s00181-021-02135-y
Abstract: This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to… read more here.
Keywords: network; systemic risk; contagion; financial network ... See more keywords
Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic
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DOI: 10.1007/s10690-021-09340-w
Abstract: The COVID-19 pandemic causes a huge number of infections. The outbreak of COVID-19 has not only caused substantial healthcare impacts, but also affected the world economy and financial markets. In this paper, we study the… read more here.
Keywords: risk; network; connectedness systemic; systemic risk ... See more keywords
A hybrid Approach for the Assessment of Risk Spillover to ESG Investment in Financial Networks
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DOI: 10.3390/su15076123
Abstract: In this paper, we present a framework for evaluating risk contagion by merging financial networks with machine learning techniques. The framework begins with building a financial network model based on the inter-institutional correlation network, followed… read more here.
Keywords: network; machine learning; risk; financial networks ... See more keywords