Domenico Di Gangi

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, Pi 56126

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

275

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction

Number of pages: 41 Posted: 04 Aug 2015 Last Revised: 23 Jun 2018
Domenico Di Gangi, Fabrizio Lillo and Davide Pirino
Scuola Normale Superiore, Università di Bologna and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 268 (144,164)
Citation 10

Abstract:

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systemic risk, maximum entropy, fire-sales, bank vulnerability, bank systemicness,matrix balancing, weighted configuration model

2.

Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks

Number of pages: 35 Posted: 12 Jun 2019 Last Revised: 17 Sep 2021
Domenico Di Gangi, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Università di Bologna
Downloads 6 (749,014)

Abstract:

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temporal networks, ERGM, exponential random graphs, score, observation driven, link prediction

3.

Network Sensitivity of Systemic Risk

Journal of Network Theory in Finance, Vol. 5, No. 3, 2019
Number of pages: 20 Posted: 19 Jan 2021
University College London - Financial Computing and Analytics Group, Department of Computer Science, Scuola Normale Superiore, Medical University of Vienna, Scuola Normale di Pisa, affiliation not provided to SSRN, affiliation not provided to SSRN, University of Warsaw - Faculty of Physics, University College London and Northwestern University - Northwestern Institute for Complex Systems (NICO)
Downloads 1 (793,079)
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Abstract:

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financial networks, systemic risk and contagion, DebtRank, network reconstruction, mesoscale structure