7 citations · 7 across the 2 of their papers we have counts for
2 papers
q-fin.TR2012★ 7 cited
Financial instability from local market measures
Marco Bardoscia, Giacomo Livan, Matteo Marsili
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We…
q-fin.RM2010
Spin Glass Model of Operational Risk
M. Bardoscia, P. Facchi, S. Pascazio +1
We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found t…