The Price of Complexity in Financial Networks
Copyright policy )The Price of Complexity in Financial Networks
Significance Estimating systemic risk in networks of financial institutions represents, today, a major challenge in both science and financial policy making. This work shows how the increasing complexity of the network of contracts among institutions comes with the price of increasing inaccuracy in the estimation of systemic risk. The paper offers a quantitative method to estimate systemic risk and its accuracy.
- University of Oxford United Kingdom
- University of Zurich Switzerland
- London Institute for Mathematical Sciences United Kingdom
- King’s University United States
- National Bureau of Economic Research United States
default probability, Financial contagion, 330, Economics, 10003 Department of Finance, Economie financière, Default (Finance), Financial networks, Complexity; Default probability; Financial contagion; Financial networks; Systemic risk, systemic risk, Systemic risk, Actuarial science and mathematical finance, Applications of design theory to circuits and networks, 1000 Multidisciplinary, financial networks, Généralités, Complexity, financial contagion, Default probability, 330 Economics, Stochastic network models in operations research, QC Physics, complexity, Financial risk, Finance
default probability, Financial contagion, 330, Economics, 10003 Department of Finance, Economie financière, Default (Finance), Financial networks, Complexity; Default probability; Financial contagion; Financial networks; Systemic risk, systemic risk, Systemic risk, Actuarial science and mathematical finance, Applications of design theory to circuits and networks, 1000 Multidisciplinary, financial networks, Généralités, Complexity, financial contagion, Default probability, 330 Economics, Stochastic network models in operations research, QC Physics, complexity, Financial risk, Finance
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