29 citations · 83 across the 7 of their papers we have counts for
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q-fin.RM2019★ 27 cited
Systemic liquidity contagion in the European interbank market
V. Macchiati, G. Brandi, G. Cimini +3
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and fi…
q-fin.RM2019
Unveil stock correlation via a new tensor-based decomposition method
Giuseppe Brandi, Ruggero Gramatica, Tiziana Di Matteo
Portfolio allocation and risk management make use of correlation matrices and heavily rely on the choice of a proper correlation matrix to be used. In this regard, one important qu…