Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
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Cited by:
- Erkan Ustaoğlu, 2022. "Analysis of Relations between CDS, Stock Market, and Exchange Rate: Evidence from Covid-19," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(2), pages 301-315.
- Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021.
"Mesoscopic Structure of the Stock Market and Portfolio Optimization,"
Papers
2112.06544, arXiv.org.
- Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021. "Mesoscopic Structure of the Stock Market and Portfolio Optimization," LEM Papers Series 2021/45, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2020-06-29 (Risk Management)
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