Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6894618 | European Journal of Operational Research | 2018 | 35 Pages |
Abstract
Our empirical analysis focuses on estimating the dependence structure of a sample of European banks from credit default swap data. We observe that the presence of communities in the banking network plays an important role in terms of systemic risk and contagion dynamics. We also introduce a decomposition of strength centrality that allows us to better characterize the role of each bank in the network and to identify the most relevant channels for the transmission of financial distress.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Gabriele Torri, Rosella Giacometti, Sandra Paterlini,