Statistically validated network of portfolio overlaps and systemic risk
Common asset holding by financial institutions (portfolio overlap) is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and severe losses at the systemic level. We propose a method to assess the statistical significance of the overlap between...
| Main Authors: | , , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Nature Publishing Group
2017
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| Online Access: | http://hdl.handle.net/1721.1/107715 |