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Scientific paper - Original scientific paper
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. & 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, no. 4, 2023. https://doi.org/10.1103/PhysRevE.108.044303

Klinčić, Luka, Vinko Zlatić, Guido Caldarelli and Hrvoje Štefančić. "Systemic risk measured by the resiliency of the system to initial shocks." Physical Review E 108, no. 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]. 2023 October [cited 2024 August 02];108(4). doi: 10.1103/PhysRevE.108.044303

L. Klinčić, V. Zlatić, G. Caldarelli and H. Štefančić, "Systemic risk measured by the resiliency of the system to initial shocks", Physical Review E, vol. 108, no. 4, October 2023. [Online]. Available at: https://urn.nsk.hr/urn:nbn:hr:217:146071. [Accessed: 02 August 2024]

Metadata
Title (english)Systemic risk measured by the resiliency of the system to initial shocks
AuthorLuka Klinčić
AuthorVinko Zlatić
AuthorGuido Caldarelli
AuthorHrvoje Štefančić
Author's institutionUniversity of Zagreb
Faculty of Science
(Department of Physics)
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Physics
Abstract (english)
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.
Keywords (english)
Languageenglish
Publication typeScientific paper - Original scientific paper
Publication statusPublished
Peer reviewPeer review - international
Publication versionPublished version
Journal titlePhysical Review E
Numberingvol. 108, no. 4, 044303
p-ISSN2470-0045
e-ISSN2470-0053
DOIhttps://doi.org/10.1103/PhysRevE.108.044303
URN:NBNurn:nbn:hr:217:146071
Publication2023-10
ProjectNumber: KK.01.1.1.01.0004
Title (croatian): Provedba vrhunskih istraživanja u sklopu Znanstvenog centra izvrsnosti za kvantne i kompleksne sustave te reprezentacije Liejevih algebri
Title (english): Implementation of top research within the Scientific Center of Excellence for Quantum and Complex Systems, and Representations of Lie Algebras
Acronym: QuantiXLie
Leader: Hrvoje Buljan
Jurisdiction: eu
Funding stream: European Regional Development Fund
ProjectNumber: KK.01.1.1.01.009
Title (croatian): Napredne metode i tehnologije u znanosti o podatcima i kooperativnim sustavima
Title (english): Advanced methods and technologies in Data Science and Cooperative Systems
Acronym: DATACROSS
Leader: Sven Lončarić
Jurisdiction: eu
Funding stream: Cohesion Fund
Document URLhttps://link.aps.org/doi/10.1103/PhysRevE.108.044303
Type of resourceText
Access conditionsOpen access
Terms of useLicence In copyright icon
Public note© 2023 American Physical Society. Received 14 April 2023. Accepted 13 September 2023. Published 5 October 2023.
Created on2024-07-23 10:54:14