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Optimal Network Compression

SSRN, ISSN: 1556-5068
2020
  • 6
    Citations
  • 700
    Usage
  • 1
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    6
    • Citation Indexes
      6
  • Usage
    700
    • Abstract Views
      629
    • Downloads
      71
  • Captures
    1
  • Ratings
    • Download Rank
      670,203

Article Description

This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial inter-bank network. We prove that this problem is, generically, NP-hard. We focus on objective functions generated by systemic risk measures under systematic shocks to the financial network. We conclude by studying the optimal compression problem for specific networks; this permits us to study the so-called robust fragility of certain network topologies more generally as well as the potential benefits and costs of network compression.

Bibliographic Details

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