Parisi Laura
Data Science Laboratory, University of Pavia
Correlation networks to measure the systemic implications of banks resolution
di Paolo Giudici e Laura Parisi
Posted in: Articolo
Set
15
2017
Abstract We propose a market-based, early warning measure of credit risk able to enhance the observed CDS spreads with a risk premium that derives from contagion by means of a correlation network model. We then combine the proposed measure with ...more »
Tagged width: banking, Giudici Paolo, Parisi Laura
