{"id":"https://openalex.org/W3205989941","doi":"https://doi.org/10.1007/s10479-022-05146-9","title":"Computing the probability of a financial market failure: a new measure of systemic risk","display_name":"Computing the probability of a financial market failure: a new measure of systemic risk","publication_year":2022,"publication_date":"2022-12-22","ids":{"openalex":"https://openalex.org/W3205989941","doi":"https://doi.org/10.1007/s10479-022-05146-9","mag":"3205989941"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-022-05146-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-022-05146-9","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2110.10936","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5046533635","display_name":"Robert A. Jarrow","orcid":"https://orcid.org/0000-0001-9893-9611"},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]},{"id":"https://openalex.org/I4210151850","display_name":"SC Johnson (United States)","ror":"https://ror.org/05j1xsk75","country_code":"US","type":"company","lineage":["https://openalex.org/I4210151850"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Robert Jarrow","raw_affiliation_strings":["S.C. Johnson Graduate School of Management, Cornell University, Ithaca, NY, 14853, USA"],"raw_orcid":"https://orcid.org/0000-0001-9893-9611","affiliations":[{"raw_affiliation_string":"S.C. Johnson Graduate School of Management, Cornell University, Ithaca, NY, 14853, USA","institution_ids":["https://openalex.org/I205783295","https://openalex.org/I4210151850"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5065654526","display_name":"Philip Protter","orcid":"https://orcid.org/0000-0003-1344-0403"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Philip Protter","raw_affiliation_strings":["Department of Statistics, Columbia University, New York, NY, 10027, USA"],"raw_orcid":"https://orcid.org/0000-0003-1344-0403","affiliations":[{"raw_affiliation_string":"Department of Statistics, Columbia University, New York, NY, 10027, USA","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5019476568","display_name":"Alejandra Quintos","orcid":"https://orcid.org/0000-0003-3447-3255"},"institutions":[{"id":"https://openalex.org/I135310074","display_name":"University of Wisconsin\u2013Madison","ror":"https://ror.org/01y2jtd41","country_code":"US","type":"education","lineage":["https://openalex.org/I135310074"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Alejandra Quintos","raw_affiliation_strings":["Department of Statistics, University of Wisconsin-Madison, Madison, WI, 53706, USA"],"raw_orcid":"https://orcid.org/0000-0003-3447-3255","affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Wisconsin-Madison, Madison, WI, 53706, USA","institution_ids":["https://openalex.org/I135310074"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5019476568"],"corresponding_institution_ids":["https://openalex.org/I135310074"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.419,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.61120389,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":95},"biblio":{"volume":"336","issue":"1-2","first_page":"481","last_page":"503"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/event","display_name":"Event (particle physics)","score":0.5709900259971619},{"id":"https://openalex.org/keywords/market-failure","display_name":"Market failure","score":0.5194222927093506},{"id":"https://openalex.org/keywords/systemic-risk","display_name":"Systemic risk","score":0.5108058452606201},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5043274164199829},{"id":"https://openalex.org/keywords/default","display_name":"Default","score":0.4970896542072296},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.4712313115596771},{"id":"https://openalex.org/keywords/probability-of-default","display_name":"Probability of default","score":0.4603128135204315},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4196644425392151},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3059006333351135},{"id":"https://openalex.org/keywords/financial-crisis","display_name":"Financial crisis","score":0.20682689547538757},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.1605088710784912},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.14792335033416748},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.1100858747959137}],"concepts":[{"id":"https://openalex.org/C2779662365","wikidata":"https://www.wikidata.org/wiki/Q5416694","display_name":"Event (particle physics)","level":2,"score":0.5709900259971619},{"id":"https://openalex.org/C178411942","wikidata":"https://www.wikidata.org/wiki/Q622657","display_name":"Market failure","level":2,"score":0.5194222927093506},{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.5108058452606201},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5043274164199829},{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.4970896542072296},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.4712313115596771},{"id":"https://openalex.org/C2779806880","wikidata":"https://www.wikidata.org/wiki/Q778470","display_name":"Probability of default","level":3,"score":0.4603128135204315},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4196644425392151},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3059006333351135},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.20682689547538757},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.1605088710784912},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14792335033416748},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.1100858747959137},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10479-022-05146-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-022-05146-9","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:2110.10936","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2110.10936","pdf_url":"https://arxiv.org/pdf/2110.10936","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05146-9","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-022-05146-9","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2110.10936","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2110.10936","pdf_url":"https://arxiv.org/pdf/2110.10936","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1872560998","display_name":null,"funder_award_id":"DMS-2106433","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"},{"id":"https://openalex.org/G5462337461","display_name":"Modeling Financial Catastrophe and COVID-19 Super Spreader Events","funder_award_id":"2106433","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"},{"id":"https://openalex.org/F4320306555","display_name":"Wisconsin Alumni Research Foundation","ror":"https://ror.org/00hwxbz16"},{"id":"https://openalex.org/F4320309434","display_name":"University of Wisconsin-Madison","ror":"https://ror.org/01y2jtd41"},{"id":"https://openalex.org/F4320337368","display_name":"Division of Graduate Education","ror":"https://ror.org/00whkrf32"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3205989941.pdf","grobid_xml":"https://content.openalex.org/works/W3205989941.grobid-xml"},"referenced_works_count":22,"referenced_works":["https://openalex.org/W1433087689","https://openalex.org/W1540689970","https://openalex.org/W1566381446","https://openalex.org/W1992031270","https://openalex.org/W2005030743","https://openalex.org/W2016534288","https://openalex.org/W2184205323","https://openalex.org/W2894128508","https://openalex.org/W2963582561","https://openalex.org/W2971832342","https://openalex.org/W3122032574","https://openalex.org/W3122111093","https://openalex.org/W3122639747","https://openalex.org/W3123085324","https://openalex.org/W3123201237","https://openalex.org/W3124245450","https://openalex.org/W3124317733","https://openalex.org/W3125168868","https://openalex.org/W4244932002","https://openalex.org/W6744873401","https://openalex.org/W6771989375","https://openalex.org/W6846019343"],"related_works":["https://openalex.org/W2335001807","https://openalex.org/W3130035989","https://openalex.org/W3006847453","https://openalex.org/W2071232204","https://openalex.org/W1595120926","https://openalex.org/W2943641908","https://openalex.org/W4286897413","https://openalex.org/W3124447560","https://openalex.org/W3205989941","https://openalex.org/W4312224481"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2021-10-25T00:00:00"}
