Previous literature shows that financial networks are sometimes described by fuzzy data. This paper extends classical models of financial contagion to the framework of fuzzy financial networks. The degree of default of a bank in the network consists in a (real valued) measure of the fuzzy default and it is computed as a fixed point for the dynamics of a modified ”fictitious default algorithm”. Finally, the algorithm is implemented in MATLAB and tested numerically on a real data set.
|Titolo:||Fuzzy Contagion Cascades in Financial Networks|
|Data di pubblicazione:||2018|
|Appare nelle tipologie:||2.1 Contributo in volume (Capitolo o Saggio)|