The leverage game.
| dc.contributor.Mentor | Fraiman, Daniel | |
| dc.creator.Autor | Aparicio, Diego H. | |
| dc.date.accessioned | 2013-03-13T17:26:28Z | |
| dc.date.available | 2013-03-13T17:26:28Z | |
| dc.date.issued | 2011 | |
| dc.description | Fil: Aparicio, Diego H.. Universidad de San Andrés. Departamento de Economía; Argentina. | |
| dc.description.abstract | 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. | |
| dc.format | application/pdf | |
| dc.identifier.other | T.L. Eco. 503 | |
| dc.identifier.uri | http://hdl.handle.net/10908/774 | |
| dc.language | eng | |
| dc.publisher | Universidad de San Andrés. Departamento de Economía | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Banks and banking -- Accounting -- Mathematical models. | |
| dc.subject | LinkFinancial statements -- Mathematical models. | |
| dc.subject | Bancos -- Contabilidad -- Modelos matemáticos. | |
| dc.subject | Estados financieros -- Modelos matemáticos. | |
| dc.title | The leverage game. | |
| dc.type | Tesis | |
| dc.type | info:eu-repo/semantics/bachelorThesis | |
| dc.type | info:ar-repo/semantics/tesis de grado | |
| dc.type | info:eu-repo/semantics/updatedVersion |