Stability in a Model of Interbank Lending

DOI10.1137/110841096zbMath1295.91099OpenAlexW2034396538MaRDI QIDQ2873149

Jean-Pierre Fouque, Tomoyuki Ichiba

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110841096

zbMATH Keywords

stabilitysystemic riskFeller diffusionexit systemmultiple defaultsinteracting particle system algorithminterbank lending system

Mathematics Subject Classification ID

Applications of graph theory (05C90) Stochastic network models in operations research (90B15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)

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