英文标题：
《Systemic risk assessment through high order clustering coefficient》
---
作者：
Roy Cerqueti, Gian Paolo Clemente, Rosanna Grassi
---
最新提交年份：
2020
---
英文摘要：
  In this article we propose a novel measure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic risk which is based on the structure, developed at different levels, of clustered neighbours around the nodes of the network. The proposed measure incorporates the generalized concept of clustering coefficient of order $l$ of a node $i$ introduced in Cerqueti et al. (2018). Its properties are also explored in terms of systemic risk assessment. Empirical experiments on the time-varying global banking network show the effectiveness of the presented systemic risk measure and provide insights on how systemic risk has changed over the last years, also in the light of the recent financial crisis and the subsequent more stringent regulation for globally systemically important banks.
---
中文摘要：
在本文中，我们提出了一种新的金融网络背景下的系统性风险度量方法。为此，我们提供了系统性风险的定义，该定义基于网络节点周围集群邻居在不同层次上的结构。拟议的衡量标准纳入了Cerqueti等人（2018年）引入的节点$i$的聚类系数的广义概念$l$。还从系统风险评估的角度探讨了其特性。在时变全球银行网络上的实证实验表明了所提出的系统性风险度量的有效性，并提供了过去几年系统性风险如何变化的见解，同时也考虑到最近的金融危机以及随后对全球系统重要性银行的更严格监管。
---
分类信息：

一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--
一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--

---
PDF下载：
-->