7 citations · 16 across the 5 of their papers we have counts for
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q-fin.RM2015
Leveraging the network: a stress-test framework based on DebtRank
Stefano Battiston, Marco D'Errico, Stefano Gurciullo +1
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenario…
q-fin.RM2014
Stess-testing the system: Financial shock contagion in the realm of uncertainty
Stefano Gurciullo
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete…