prikaz prve stranice dokumenta Systemic risk measured by the resiliency of the system to initial shocks
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Systemic risk measured by the resiliency of the system to initial shocks
Physical Review E, 108 (2023), 4; 044303. https://doi.org/10.1103/PhysRevE.108.044303
Klinčić, Luka; Zlatić, Vinko; Caldarelli, Guido; Štefančić, Hrvoje

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Klinčić, L., Zlatić, V., Caldarelli, G. i Štefančić, H. (2023). Systemic risk measured by the resiliency of the system to initial shocks. Physical Review E, 108. (4). doi: 10.1103/PhysRevE.108.044303

Klinčić, Luka, et al. "Systemic risk measured by the resiliency of the system to initial shocks." Physical Review E, vol. 108, br. 4, 2023. https://doi.org/10.1103/PhysRevE.108.044303

Klinčić, Luka, Vinko Zlatić, Guido Caldarelli i Hrvoje Štefančić. "Systemic risk measured by the resiliency of the system to initial shocks." Physical Review E 108, br. 4 (2023). https://doi.org/10.1103/PhysRevE.108.044303

Klinčić, L., et al. (2023) 'Systemic risk measured by the resiliency of the system to initial shocks', Physical Review E, 108(4). doi: 10.1103/PhysRevE.108.044303

Klinčić L, Zlatić V, Caldarelli G, Štefančić H. Systemic risk measured by the resiliency of the system to initial shocks. Physical Review E [Internet]. 10.2023. [pristupljeno 02.12.2024.];108(4). doi: 10.1103/PhysRevE.108.044303

L. Klinčić, V. Zlatić, G. Caldarelli i H. Štefančić, "Systemic risk measured by the resiliency of the system to initial shocks", Physical Review E, vol. 108, br. 4, Listopad 2023. [Online]. Dostupno na: https://urn.nsk.hr/urn:nbn:hr:217:146071. [Citirano: 02.12.2024.]

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Podaci o radu
Naslov (engleski)Systemic risk measured by the resiliency of the system to initial shocks
AutorLuka Klinčić
AutorVinko Zlatić
AutorGuido Caldarelli
AutorHrvoje Štefančić
Autorova ustanovaSveučilište u Zagrebu
Prirodoslovno-matematički fakultet
(Fizički odsjek)
Znanstveno / umjetničko
područje, polje i grana		PRIRODNE ZNANOSTI
Fizika
Sažetak (engleski)
The analysis of systemic risk often revolves around examining various measures utilized by practitioners and policymakers. These measures typically focus on assessing the extent to which external events can impact a financial system, without delving into the nature of the initial shock. In contrast, our approach takes a symmetrical standpoint and introduces a set of measures centered on the quantity of external shock that the system can absorb before experiencing deterioration. To achieve this, we employ a linearized version of DebtRank, which facilitates a clear depiction of the onset of financial distress, thereby enabling accurate estimation of systemic risk. Through the utilization of spectral graph theory, we explicitly compute localized and uniform exogenous shocks, elucidating their behavior. Additionally, we expand the analysis to encompass heterogeneous shocks, necessitating computation via Monte Carlo simulations. We firmly believe that our approach is both comprehensive and intuitive, enabling a standardized assessment of failure risk in financial systems.
Ključne riječi (engleski)
Jezikengleski
Vrsta publikacijeZnanstveni rad - Izvorni znanstveni rad
Status objaveObjavljen
Vrsta recenzijeRecenziran - međunarodna recenzija
Verzija publikacijeObjavljena verzija rada (izdavačev PDF)
Naslov časopisaPhysical Review E
Brojčani podacivol. 108, br. 4, 044303
p-ISSN2470-0045
e-ISSN2470-0053
DOIhttps://doi.org/10.1103/PhysRevE.108.044303
URN:NBNurn:nbn:hr:217:146071
Datum objave publikacije2023-10
ProjektŠifra: KK.01.1.1.01.0004
Naziv (hrvatski): Provedba vrhunskih istraživanja u sklopu Znanstvenog centra izvrsnosti za kvantne i kompleksne sustave te reprezentacije Liejevih algebri
Naziv (engleski): Implementation of top research within the Scientific Center of Excellence for Quantum and Complex Systems, and Representations of Lie Algebras
Kratica: QuantiXLie
Voditelj: Hrvoje Buljan
Pravna nadležnost: eu
Financijer: Europska komisija
Linija financiranja: European Regional Development Fund
ProjektŠifra: KK.01.1.1.01.009
Naziv (hrvatski): Napredne metode i tehnologije u znanosti o podatcima i kooperativnim sustavima
Naziv (engleski): Advanced methods and technologies in Data Science and Cooperative Systems
Kratica: DATACROSS
Voditelj: Sven Lončarić
Pravna nadležnost: eu
Financijer: Europska komisija
Linija financiranja: Cohesion Fund
URL dokumentahttps://link.aps.org/doi/10.1103/PhysRevE.108.044303
Vrsta resursaTekst
Prava pristupaOtvoreni pristup
Uvjeti korištenjaIkona licence Zaštićeno autorskim pravom.
Javna napomena© 2023 American Physical Society. Received 14 April 2023. Accepted 13 September 2023. Published 5 October 2023.
Datum i vrijeme pohrane2024-07-23 10:54:14