Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/20M1376765
Reference29 articles.
1. Inhomogeneous Financial Networks and Contagious Links
2. Network valuation in financial systems
3. Optimization of Fire Sales and Borrowing in Systemic Risk
4. Bilateral credit valuation adjustment for large credit derivatives portfolios
5. Systemic Risk in Interbanking Networks
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