3 citations · 3 across the 5 of their papers we have counts for
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stat.AP2019
Measuring systemic risk and contagion in the European financial network
Laleh Tafakori, Armin Pourkhanali, Riccardo Rastelli
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and deve…
stat.AP2018
A dynamic network model to measure exposure diversification in the Austrian interbank market
Juraj Hledik, Riccardo Rastelli
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversificati…