A Dynamic Contagion Risk Model with Recovery Features
DOI10.1287/moor.2021.1174zbMath1489.91297OpenAlexW2990105672MaRDI QIDQ5085147
Agnès Sulem, Andreea Minca, Hamed Amini
Publication date: 27 June 2022
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/hal-02421342v2/file/NetworksWithGrowthFeb15_R2_MOR.pdf
random graphssystemic riskfinancial stabilitydefault contagioncollective risk theoryinterbank networkinsurance-reinsurance networks
Stochastic network models in operations research (90B15) Deterministic network models in operations research (90B10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Financial networks (including contagion, systemic risk, regulation) (91G45)
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