Crisis risk prediction with concavity from polymodel

DOI10.3934/jdg.2021027zbMath1478.62311OpenAlexW3160847425MaRDI QIDQ2068817

Yao Kuang, Raphaël Douady

Publication date: 20 January 2022

Published in: Journal of Dynamics and Games (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jdg.2021027

zbMATH Keywords

nonlinearityfinancial crisissystemic riskinvestment strategypolymodel

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

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