On the fictitious default algorithm in fuzzy financial networks

De Marco Giuseppe; Donnini Chiara; Gioia Federica; Perla Francesca

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On the fictitious default algorithm in fuzzy financial networks

机译：论模糊金融网络中的虚拟默认算法

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摘要

In the literature on financial contagion, the possibility to deal only with imprecise information about the overall interbank exposures and the implications in the analysis of the stability of the financial system seem to be a relevant problem. In particular, previous literature has shown that fuzzy data arise naturally in this framework and turn to be tractable from the computational point of view. The present paper generalizes the well known fictitious default algorithmto the fuzzy setting, providing an existence result for the corresponding fuzzy fixed points, the convergence of the algorithm to fixed points, an implementation of the algorithm in MATLAB and numerical simulations. (C) 2020 Elsevier Inc. All rights reserved.

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来源
《Acoustic bulletin》 |2020年第6期|85-102|共18页
作者
De Marco Giuseppe; Donnini Chiara; Gioia Federica; Perla Francesca;
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作者单位

Univ Naples Parthenope Dept Management & Quantitat Sci Via Gen Parisi 13 I-80132 Naples Italy|Univ Naples Federico II Ctr Studies Econ & Finance Naples Italy;

Univ Naples Parthenope Dept Management & Quantitat Sci Via Gen Parisi 13 I-80132 Naples Italy;

Univ Naples Parthenope Dept Management & Quantitat Sci Via Gen Parisi 13 I-80132 Naples Italy;

Univ Naples Parthenope Dept Management & Quantitat Sci Via Gen Parisi 13 I-80132 Naples Italy;

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词
Financial networks; Fuzzy financial data; Fictitious default; Fixed point;

机译：金融网络;模糊财务数据;虚构默认;固定点;

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专利

1. FUZZY, DISTRIBUTED, INSTANCE COUNTING, AND DEFAULT ARTMAP NEURAL NETWORKS FOR FINANCIAL DIAGNOSIS [J] . ANATOLI NACHEV, SEAMUS HILL, CHRIS BARRY, International Journal of Information Technology & Decision Making . 2010,第6期

机译：用于财务诊断的模糊，分布式，实例计数和默认Artmap神经网络
2. FUZZY, DISTRIBUTED, INSTANCE COUNTING, AND DEFAULT ARTMAP NEURAL NETWORKS FOR FINANCIAL DIAGNOSIS [J] . ANATOLI NACHEV∗ SEAMUS HILL† and CHRIS BARRY‡BORISLAV STOYANOV International Journal of Information Technology & Decision Making . 2010,第6期

机译：用于财务诊断的模糊，分布式，实例计数和默认Artmap神经网络
3. Default Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks [J] . Management science: Journal of the Institute of Management Sciences . 2020,第5期

机译：默认模糊性：信用默认掉期在金融网络中创建新的Systemic风险
4. Towards a Type-2 Fuzzy Logic Based System for Decision Support to Minimize Financial Default in Banking Sector [C] . Ahmed Salih, Hani Hagras Computer Science and Electronic Engineering Conference . 2018

机译：面向基于类型2模糊逻辑的决策支持系统，以最小化银行部门的财务违约
5. Oil tanker markets modeling, analysis and forecasting using neural networks, fuzzy logic and genetic algorithms. [D] . Li, Jun. 1997

机译：油轮使用神经网络，模糊逻辑和遗传算法来进行建模，分析和预测。
6. A new algorithm to find fuzzy Hamilton cycle in a fuzzy network using adjacency matrix and minimum vertex degree [O] . A. Nagoor Gani, S. R. Latha -1

机译：利用邻接矩阵和最小顶点度在模糊网络中寻找模糊汉密尔顿环的新算法
7. On the fictitious default algorithm in fuzzy financial networks [O] . Giuseppe De Marco, Chiara Donnini, Federica Gioia, 2020

机译：论模糊金融网络中的虚拟默认算法

On the fictitious default algorithm in fuzzy financial networks

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