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http://hdl.handle.net/10908/774
Título : | The leverage game. |
Autor/a: | Aparicio, Diego H. |
Mentor/a: | Fraiman, Daniel |
Palabras clave : | Banks and banking -- Accounting -- Mathematical models. LinkFinancial statements -- Mathematical models. Bancos -- Contabilidad -- Modelos matemáticos. Estados financieros -- Modelos matemáticos. |
Fecha de publicación : | 2011 |
Editor: | Universidad de San Andrés. Departamento de Economía |
Resumen : | This study uses individual bank’s balance sheet data from Argentina, Brazil, Mexico, South Africa, and Taiwan, to obtain cross-correlations over the time-series leverage ratio. A correlation-based filtering procedure is then implemented to obtain leveragebased networks. Results conclude that topological properties from graph theory describe a surprising similar pattern inside the network between countries. These leverage networks are complex and are characterized by heavy-tailed vertex degree distribution, which reveals the emergence of hubs and suggests the potential scale-free nature of the system. Finally, surrogated Monte Carlo simulations confirm that the complex networks, obtained through the filtering procedure, cannot be explained by chance alone. |
Descripción : | Fil: Aparicio, Diego H.. Universidad de San Andrés. Departamento de Economía; Argentina. |
URI : | http://hdl.handle.net/10908/774 |
Aparece en las colecciones: | Trabajos de Licenciatura en Economía |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
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[P][W] T. L. Eco. Diego H. Aparicio.pdf | 1.74 MB | Adobe PDF | Visualizar/Abrir |
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