Systemic Risk in Interbanking Networks

DOI10.1137/130937664zbMath1315.91065OpenAlexW3123893832MaRDI QIDQ5258451

Agostino Capponi, Li Jun Bo

Publication date: 26 June 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130937664

zbMATH Keywords

weak convergenceinteracting jump diffusionsinterbanking lendingsystemic indicatorstime varying square root diffusions

Mathematics Subject Classification ID

Related Items (17)

Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence ⋮ Markov chain approximation and measure change for time-inhomogeneous stochastic processes ⋮ Well-posedness of a system of SDEs driven by jump random measures ⋮ Propagation of chaos for maxima of particle systems with mean-field drift interaction ⋮ Network Effects in Default Clustering for Large Systems ⋮ The pricing of basket options: a weak convergence approach ⋮ Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs ⋮ Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems ⋮ An SPDE model for systemic risk with endogenous contagion ⋮ Dynamic contagion in a banking system with births and defaults ⋮ Mean field analysis of neural networks: a central limit theorem ⋮ Mean Field Analysis of Neural Networks: A Law of Large Numbers ⋮ A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning ⋮ Financial Asset Bubbles in Banking Networks ⋮ Reinforcement learning and stochastic optimisation ⋮ Approximating Nash equilibrium for optimal consumption in stochastic growth model with jumps ⋮ Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

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