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2111. Systemic resilience of networked commodities
Invited abstract in session WB-63: Risk Management in Private and Public Finance, stream OR in Banking, Finance and Insurance: New Tools for Risk Management.
Wednesday, 10:30-12:00Room: S14 (building: 101)
Authors (first author is the speaker)
| 1. | Roy Cerqueti
|
| Department of Social and Economic Sciences, Sapienza University of Rome |
Abstract
This paper aims at providing insights on the ability of systems of commodities to absorb external microscopic shocks. Such ability is labelled as systemic resilience. Commodities are suitably evaluated along with their interconnections, on the basis of the similarities of their financial performances.
The resilience is measured through the comparison of the shocked networks with the original unshocked ones. The employed device is the clustering coefficient, which is a nodal centrality measure associated with the community structure of the network. The proposed methodology is empirically tested over a large set of commodities of different nature.
Keywords
- Network Design
Status: accepted
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