Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
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Publication:5162854
DOI10.1137/20M1376765zbMath1476.91210arXiv2010.15254OpenAlexW3205603977MaRDI QIDQ5162854
Andreas Søjmark, Zachary Feinstein
Publication date: 5 November 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.15254
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial networks (including contagion, systemic risk, regulation) (91G45)
Related Items (5)
Interbank asset-liability networks with fire sale management ⋮ Clearing payments in dynamic financial networks ⋮ Propagation of minimality in the supercooled Stefan problem ⋮ Contagious McKean-Vlasov systems with heterogeneous impact and exposure ⋮ Mean field games with heterogeneous groups: application to banking systems
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