Publication: Network valuation in financial systems
Network valuation in financial systems
Date
Date
Date
Citations
Barucca, P., Bardoscia, M., Caccioli, F., D’Errico, M., Visentin, G., Caldarelli, G., & Battiston, S. (2020). Network valuation in financial systems. Mathematical Finance, 30(4), 1181–1204. https://doi.org/10.1111/mafi.12272
Abstract
Abstract
Abstract
We introduce a general model for the balance‐sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks' external assets. At the same time, it also provides a natural extension of classic structural credit risk models to the case of an interconnected system. We characterize the existence and uniqueness of a valuation that maximizes individual and total equity values for a
Additional indexing
Creators (Authors)
- Barucca, Paolo
- Bardoscia, Marco
- Caccioli, Fabio
- D'Errico, Marco
- Visentin, Gabriele
- Caldarelli, Guido
- Battiston, Stefano
Volume
Volume
Volume
Number
Number
Number
Page Range
Page Range
Page Range
Page end
Page end
Page end
Item Type
Item Type
Item Type
In collections
Scope
Scope
Scope
Language
Language
Language
Publication date
Publication date
Publication date
Date available
Date available
Date available
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
OA Status
OA Status
OA Status
Free Access at
Free Access at
Free Access at
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
Citations
Barucca, P., Bardoscia, M., Caccioli, F., D’Errico, M., Visentin, G., Caldarelli, G., & Battiston, S. (2020). Network valuation in financial systems. Mathematical Finance, 30(4), 1181–1204. https://doi.org/10.1111/mafi.12272
