BORROWING CAPACITY, FINANCIAL INSTABILITY, AND CONTAGION

DOI10.1142/S0219024918500607zbMath1419.91666OpenAlexW2901487166MaRDI QIDQ3121228

Youngna Choi

Publication date: 15 March 2019

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

Full work available at URL: https://doi.org/10.1142/s0219024918500607

zbMATH Keywords

contagionborrowing capacitysystemic riskagent-based modelfinancial instabilityflow of funds

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Financial crisis dynamics: attempt to define a market instability indicator
• Inhomogeneous Financial Networks and Contagious Links
• Financial instability contagion: a dynamical systems approach

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