A new measure of the resilience for networks of funds with applications to socially responsible investments

Roy Cerqueti*, Rocco Ciciretti, Ambrogio Dalò, Marco Nicolosi

*Corresponding author voor dit werk

OnderzoeksoutputAcademicpeer review

8 Citaten (Scopus)
88 Downloads (Pure)

Samenvatting

This paper provides a novel resilience measure of a family of networks in terms of stability of its community structure. To this aim, we assign to each node a probability distribution and introduce an exogenous shock as a lump sum perturbing its left tail. Then, we measure the reactions of the considered networks to the occurrence of such exogenous shocks. Starting from the intuitive interpretation of the methodological proposal in the financial context, we employ it to compare portfolios of funds with different ranks in terms of the Environmental, Social and Governance score. In particular, we consider financial networks whose nodes represent funds, and edges are weighted on the basis of the capitalization due to the common components of the connected nodes. Interestingly, we find that the considered network of High ranked funds is more resilient than the corresponding network of Low ranked funds when funds are small-sized. The opposite behavior is observed for the big-sized funds.
Originele taal-2English
Artikelnummer126976
TijdschriftPhysica A: Statistical Mechanics and its Applications
Volume593
DOI's
StatusPublished - 1-mei-2022

Vingerafdruk

Duik in de onderzoeksthema's van 'A new measure of the resilience for networks of funds with applications to socially responsible investments'. Samen vormen ze een unieke vingerafdruk.

Citeer dit