3 papers
q-fin.RM2026
Hedging market risk and uncertainty via a robust portfolio approach
Adele Ravagnani, Mattia Chiappari, Andrea Flori +2
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a ro…
physics.soc-ph2024
Spectral signatures of structural change in financial networks
Valentina Macchiati, Emiliano Marchese, Piero Mazzarisi +2
The level of systemic risk in economic and financial systems is strongly determined by the structure of the underlying networks of interdependent entities that can propagate shocks…
q-fin.RM2024
Interbank network reconstruction enforcing density and reciprocity
Valentina Macchiati, Piero Mazzarisi, Diego Garlaschelli
Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This l…