Network Effects in Default Clustering for Large Systems
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Publication:5108926
DOI10.1080/1350486X.2020.1724804zbMath1437.91446arXiv1812.07645OpenAlexW2947615987MaRDI QIDQ5108926
Jia Yang, Konstantinos V. Spiliopoulos
Publication date: 6 May 2020
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.07645
Numerical methods (including Monte Carlo methods) (91G60) Financial networks (including contagion, systemic risk, regulation) (91G45)
Related Items (3)
Local weak convergence for sparse networks of interacting processes ⋮ Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems ⋮ Mean field games with heterogeneous groups: application to banking systems
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