Matches in SemOpenAlex for { <https://semopenalex.org/work/W2897579336> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W2897579336 abstract "Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical mechanics and Laplacian determinism we develop a model that can predict the response of the financial network to a shock. We also propose a way of measuring the systemic importance of the banks, which we call BankRank. Using European Bank Authority 2011 stress test exposure data, we apply our model to the bipartite network connecting the largest institutional debt holders of the troubled European countries (Greece, Italy, Portugal, Spain, and Ireland). From simulating our model we can determine whether a network is in a stable state in which shocks do not cause major losses, or a state in which devastating damages occur. Fitting the parameters of the model, which play the role of physical coupling constants, to Eurozone crisis data shows that before the Eurozone crisis the system was mostly in a stable regime, and that during the crisis it transitioned into an regime. The numerical solutions produced by our model match closely the actual time-line of events of the crisis. We also find that, while the largest holders are usually more important, in the unstable regime smaller holders also exhibit systemic importance. Our model also proves useful for determining the vulnerability of banks and assets to shocks. This suggests that our model may be a useful tool for simulating the response dynamics of shared portfolio networks." @default.
- W2897579336 created "2018-10-26" @default.
- W2897579336 creator A5014074585 @default.
- W2897579336 creator A5035390589 @default.
- W2897579336 creator A5053217029 @default.
- W2897579336 creator A5078338477 @default.
- W2897579336 creator A5090303125 @default.
- W2897579336 date "2014-10-01" @default.
- W2897579336 modified "2023-10-06" @default.
- W2897579336 title "A Systemic Stress Test Model in Bank-Asset Networks" @default.
- W2897579336 hasPublicationYear "2014" @default.
- W2897579336 type Work @default.
- W2897579336 sameAs 2897579336 @default.
- W2897579336 citedByCount "3" @default.
- W2897579336 countsByYear W28975793362015 @default.
- W2897579336 countsByYear W28975793362016 @default.
- W2897579336 crossrefType "posted-content" @default.
- W2897579336 hasAuthorship W2897579336A5014074585 @default.
- W2897579336 hasAuthorship W2897579336A5035390589 @default.
- W2897579336 hasAuthorship W2897579336A5053217029 @default.
- W2897579336 hasAuthorship W2897579336A5078338477 @default.
- W2897579336 hasAuthorship W2897579336A5090303125 @default.
- W2897579336 hasConcept C10138342 @default.
- W2897579336 hasConcept C106159729 @default.
- W2897579336 hasConcept C119323957 @default.
- W2897579336 hasConcept C121332964 @default.
- W2897579336 hasConcept C126322002 @default.
- W2897579336 hasConcept C139719470 @default.
- W2897579336 hasConcept C144133560 @default.
- W2897579336 hasConcept C144587487 @default.
- W2897579336 hasConcept C162324750 @default.
- W2897579336 hasConcept C163258240 @default.
- W2897579336 hasConcept C192183473 @default.
- W2897579336 hasConcept C199360897 @default.
- W2897579336 hasConcept C2776760741 @default.
- W2897579336 hasConcept C2778300220 @default.
- W2897579336 hasConcept C2779201015 @default.
- W2897579336 hasConcept C2780821815 @default.
- W2897579336 hasConcept C2781300812 @default.
- W2897579336 hasConcept C38652104 @default.
- W2897579336 hasConcept C41008148 @default.
- W2897579336 hasConcept C62520636 @default.
- W2897579336 hasConcept C71924100 @default.
- W2897579336 hasConcept C7515471 @default.
- W2897579336 hasConcept C76178495 @default.
- W2897579336 hasConcept C89227174 @default.
- W2897579336 hasConcept C95713431 @default.
- W2897579336 hasConceptScore W2897579336C10138342 @default.
- W2897579336 hasConceptScore W2897579336C106159729 @default.
- W2897579336 hasConceptScore W2897579336C119323957 @default.
- W2897579336 hasConceptScore W2897579336C121332964 @default.
- W2897579336 hasConceptScore W2897579336C126322002 @default.
- W2897579336 hasConceptScore W2897579336C139719470 @default.
- W2897579336 hasConceptScore W2897579336C144133560 @default.
- W2897579336 hasConceptScore W2897579336C144587487 @default.
- W2897579336 hasConceptScore W2897579336C162324750 @default.
- W2897579336 hasConceptScore W2897579336C163258240 @default.
- W2897579336 hasConceptScore W2897579336C192183473 @default.
- W2897579336 hasConceptScore W2897579336C199360897 @default.
- W2897579336 hasConceptScore W2897579336C2776760741 @default.
- W2897579336 hasConceptScore W2897579336C2778300220 @default.
- W2897579336 hasConceptScore W2897579336C2779201015 @default.
- W2897579336 hasConceptScore W2897579336C2780821815 @default.
- W2897579336 hasConceptScore W2897579336C2781300812 @default.
- W2897579336 hasConceptScore W2897579336C38652104 @default.
- W2897579336 hasConceptScore W2897579336C41008148 @default.
- W2897579336 hasConceptScore W2897579336C62520636 @default.
- W2897579336 hasConceptScore W2897579336C71924100 @default.
- W2897579336 hasConceptScore W2897579336C7515471 @default.
- W2897579336 hasConceptScore W2897579336C76178495 @default.
- W2897579336 hasConceptScore W2897579336C89227174 @default.
- W2897579336 hasConceptScore W2897579336C95713431 @default.
- W2897579336 hasLocation W28975793361 @default.
- W2897579336 hasOpenAccess W2897579336 @default.
- W2897579336 hasPrimaryLocation W28975793361 @default.
- W2897579336 hasRelatedWork W121959397 @default.
- W2897579336 hasRelatedWork W1510507705 @default.
- W2897579336 hasRelatedWork W2047098017 @default.
- W2897579336 hasRelatedWork W2060614202 @default.
- W2897579336 hasRelatedWork W2078660995 @default.
- W2897579336 hasRelatedWork W2128391133 @default.
- W2897579336 hasRelatedWork W2133231666 @default.
- W2897579336 hasRelatedWork W2528540774 @default.
- W2897579336 hasRelatedWork W2603352559 @default.
- W2897579336 hasRelatedWork W2891054859 @default.
- W2897579336 hasRelatedWork W2988925252 @default.
- W2897579336 hasRelatedWork W3092699852 @default.
- W2897579336 hasRelatedWork W3123232430 @default.
- W2897579336 hasRelatedWork W3123349213 @default.
- W2897579336 hasRelatedWork W3123764849 @default.
- W2897579336 hasRelatedWork W3124502303 @default.
- W2897579336 hasRelatedWork W3124518721 @default.
- W2897579336 hasRelatedWork W3126015969 @default.
- W2897579336 hasRelatedWork W3127927177 @default.
- W2897579336 hasRelatedWork W5377496 @default.
- W2897579336 isParatext "false" @default.
- W2897579336 isRetracted "false" @default.
- W2897579336 magId "2897579336" @default.
- W2897579336 workType "article" @default.