Systemic Risk and Default Clustering for Large Financial Systems
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Publication:4560344
DOI10.1007/978-3-319-11605-1_19zbMath1418.91489arXiv1402.5352OpenAlexW3124292366MaRDI QIDQ4560344
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.5352
Central limit and other weak theorems (60F05) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
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On the effect of heterogeneity on flocking behavior and systemic risk, Network Effects in Default Clustering for Large Systems, An SPDE model for systemic risk with endogenous contagion
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