A default system with overspilling contagion
DOI10.3934/FMF.2024003zbMATH Open1537.91343MaRDI QIDQ6549692
Delia Coculescu, Gabriele Visentin
Publication date: 4 June 2024
Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)
stochastic differential equationscredit riskcredit derivativescontagionenlargement of filtrationsnon-Markovian processes
General theory of stochastic processes (60G07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)
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