| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481291 | Physica A: Statistical Mechanics and its Applications | 2013 | 5 Pages |
Abstract
⺠We develop a systemic risk index to measure the default risk of sovereign debt. ⺠We construct a network model according to the debt-credit correlations. ⺠The index can determine the status of interconnectivity and point out the degree of the sovereign debt default risk. ⺠Our approach provides another way on the investigation of quantifying the systemic risk.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Hongwei Chuang, Hwai-Chung Ho,