Network Effects in Default Clustering for Large Systems
Author:
Affiliation:
1. Department of Mathematics and Statistics, Boston University, Boston, MA, USA
Funder
Directorate for Mathematical and Physical Sciences
Division of Mathematical Sciences
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2020.1724804
Reference31 articles.
1. Financial Contagion
2. Exploring the sources of default clustering
3. Bilateral credit valuation adjustment for large credit derivatives portfolios
4. Systemic Risk in Interbanking Networks
5. Risk Topography
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3. Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems;SIAM Journal on Financial Mathematics;2021-01
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