DOUBLE CASCADE MODEL OF FINANCIAL CRISES

DOI10.1142/S0219024916500412zbMath1396.91795arXiv1310.6873OpenAlexW2528420755MaRDI QIDQ2816958

Quentin H. Shao, T. R. Hurd, Sergey Melnik, Davide Cellai

Publication date: 26 August 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.6873

zbMATH Keywords

defaultrandom graphcontagionsystemic riskliquidity hoardingbanking networkfunding liquidity

Mathematics Subject Classification ID

Random graphs (graph-theoretic aspects) (05C80) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

The Construction and Properties of Assortative Configuration Graphs ⋮ A unified approach to systemic risk measures via acceptance sets ⋮ BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY ⋮ On fairness of systemic risk measures

Cites Work

• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
• Contagion! Systemic Risk in Financial Networks
• Systemic Risk in Financial Systems
• Contagion in financial networks
• Directed scale-free graphs
• On Watts' cascade model with random link weights

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