Systemic stress test model for shared portfolio networks
Abstract We propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter as an indicator of the stability of the financial...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Nature Portfolio
2021-02-01
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| Series: | Scientific Reports |
| Online Access: | https://doi.org/10.1038/s41598-021-82904-y |