Rollover risk and endogenous network dynamics

DOI10.1007/s10287-013-0172-8zbMath1282.91398OpenAlexW2022579412MaRDI QIDQ2438071

Jose Fique, Frank H. jun. Page

Publication date: 10 March 2014

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-013-0172-8

zbMATH Keywords

credit crisisinterbank networksliquidity freezeendogenous network formation

Mathematics Subject Classification ID

Noncooperative games (91A10) Games involving graphs (91A43) Multistage and repeated games (91A20) Actuarial science and mathematical finance (91G99)

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The impact of Basel III on financial (in)stability: an agent-based credit network approach

Cites Work

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• On N-person stochastic games by denumerable state space
• Risk Attribution Using the Shapley Value: Methodology and Policy Applications

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