A Response Function of Merton Model and Kinetic Ising Model

DOI10.1007/978-981-15-4498-9_5zbMath1457.91402OpenAlexW3045880275MaRDI QIDQ5148841

Takuya Kaneko, Masato Hisakado

Publication date: 5 February 2021

Published in: Advanced Studies of Financial Technologies and Cryptocurrency Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-15-4498-9_5

zbMATH Keywords

networkcontagiondefault probabilitycredit risk management

Mathematics Subject Classification ID

Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Information cascade on networks
• Digital herders and phase transition in a voting model
• Contagion in financial networks
• Phase transition and information cascade in a voting model
• A simple model of global cascades on random networks
• Brownian Motion in the Stock Market

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