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Introduction to R for Quantitative Finance by Zsolt Tulassay, Dr. Kata Váradi, Péter Csóka, Michael Puhle, Márton Michaletzky, Gergely Daróczi, Dr. Edina Berlinger, Daniel Havran, Agnes Vidovics-Dancs

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Chapter 9. Financial Networks

We have seen in the previous chapter how extreme events coming from asymmetric and fat-tailed distributions can be modeled and how the risk associated with extreme events can be measured and managed.

In some cases we have access to financial data that enables us to construct complex networks. In financial networks, it is quite usual that the distribution of some attributes (degree, quantity, and so on) is highly asymmetric and fat-tailed too.

By nature, available financial networks are usually not complete; they do not contain either all possible players, or all possible connections, or all relevant attributes. But even in their limited state, they constitute an extremely rich and informative data set which can help ...

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