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On the Fictitious Default Algorithm in Fuzzy Financial Networks

Giuseppe De Marco, Chiara Donnini, Federica Gioia and Francesca Perla
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Chiara Donnini: Università di Napoli Parthenope
Federica Gioia: Università di Napoli Parthenope
Francesca Perla: Università di Napoli Parthenope

CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy

Abstract: 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 seems to be a relevant problem. In particular, previous literature has shown that fuzzy data arise naturally in this framework and turn to be sufficiently friendly to handle from the computational point of view. The present paper generalizes the well known_fictitious default algorithm to 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.

Keywords: Financial networks; fuzzy financial data; fictitious default; fixed point. (search for similar items in EconPapers)
Date: 2019-07-12
New Economics Papers: this item is included in nep-cmp
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