An optimization model for minimizing systemic risk
Journal article
Castellano, R., Cerqueti, R., Clemente, G.P. and Grassi, R. (2020). An optimization model for minimizing systemic risk. Mathematics and Financial Economics. https://doi.org/10.1007/s11579-020-00279-6
Authors | Castellano, R., Cerqueti, R., Clemente, G.P. and Grassi, R. |
---|---|
Abstract | This paper proposes an optimal allocation model with the main aim to minimize systemic risk related to the sovereign risk of a set of countries. The reference methodological environment is that of complex networks theory. Specifically, we consider the weighted clustering coefficient as a proxy of systemic risk, while the interconnections among countries are captured by the relationships among default probabilities of the set of countries under consideration. The selected optimization criterion is based on minimization of the mean absolute deviation. We perform empirical analyses to validate the theoretical predictions, and interpret the findings in the context of the proposed model. |
Year | 2020 |
Journal | Mathematics and Financial Economics |
Publisher | Springer Science and Business Media LLC |
ISSN | 1862-9679 |
Digital Object Identifier (DOI) | https://doi.org/10.1007/s11579-020-00279-6 |
Publication dates | |
Online | 12 Sep 2020 |
Publication process dates | |
Accepted | 24 Aug 2020 |
Deposited | 07 Oct 2020 |
Accepted author manuscript | License File Access Level Open |
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