DebtRank: A Microscopic Foundation for Shock Propagation

Abstract

The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical "microscopic" theory of instability for financial networks by iterating balance sheet identities of individual banks and by… (More)
DOI: 10.1371/journal.pone.0130406

Topics

2 Figures and Tables

Slides referencing similar topics