刊名:Physica A: Statistical Mechanics and its Applications
出版年:2017
出版时间:1 April 2017
年:2017
卷:471
期:Complete
页码:592-606
全文大小:596 K
卷排序:471
文摘
We compare different systemic risk formulations of the DebtRank (systemic risk) model We find determinants that explain divergences on the different models. The network cyclicality is an important determinant. The average vulnerability of banks in the network is another crucial determinant. We validate our claims on artificial and real-world financial networks.