Solorzano-Margain, Juan; Martinez-Jaramillo, Serafin; … - In: Computational Management Science 10 (2013) 2, pp. 125-155
Direct contagion has been widely studied in recent years and little evidence has been found to be relevant to the study of systemic risk. However, we argue that this limited contagion effect might be associated with a lack of relevant data. A common assumption for the estimation of the matrices...