Handbook on Systemic Risk

DOI10.1017/CBO9781139151184zbMath1305.91014OpenAlexW600933876WikidataQ56446501 ScholiaQ56446501MaRDI QIDQ5174508

No author found.

Publication date: 18 February 2015

Full work available at URL: https://doi.org/10.1017/cbo9781139151184

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91Gxx)

Related Items (37)

Sharing idiosyncratic risk even though prices are ``wrong ⋮ Dynamic contract design for systemic cyber risk management of interdependent enterprise networks ⋮ Systemic optimal risk transfer equilibrium ⋮ Systemic risk and stochastic games with delay ⋮ Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence ⋮ MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS ⋮ Control of Interbank Contagion Under Partial Information ⋮ Asset trading under non-classical ambiguity and heterogeneous beliefs ⋮ Systemic risk measures on general measurable spaces ⋮ Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk ⋮ On the effect of heterogeneity on flocking behavior and systemic risk ⋮ Quantile-based risk sharing with heterogeneous beliefs ⋮ On some extended mixed integer optimization models of the Eisenberg–Noe model in systemic risk management ⋮ On the Stability and the Uniform Propagation of Chaos of a Class of Extended Ensemble Kalman--Bucy Filters ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS ⋮ Contagion in Financial Systems: A Bayesian Network Approach ⋮ Incorporating contagion in portfolio credit risk models using network theory ⋮ On the stability and the concentration of extended Kalman-Bucy filters ⋮ Strategic fire-sales and price-mediated contagion in the banking system ⋮ Systemic risk governance in a dynamical model of a banking system ⋮ A unified approach to systemic risk measures via acceptance sets ⋮ Partial mean field limits in heterogeneous networks ⋮ Dynamic contagion in a banking system with births and defaults ⋮ Systemic losses due to counterparty risk in a stylized banking system ⋮ Managing Default Contagion in Inhomogeneous Financial Networks ⋮ On fairness of systemic risk measures ⋮ Financial Asset Bubbles in Banking Networks ⋮ Bootstrap percolation in directed inhomogeneous random graphs ⋮ On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators ⋮ Mean field games with heterogeneous groups: application to banking systems ⋮ Nonparametric estimation for interacting particle systems: McKean-Vlasov models ⋮ \(N\)-player games and mean-field games with smooth dependence on past absorptions ⋮ Trading strategy with stochastic volatility in a limit order book market ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities ⋮ Systemic Risk in Interbanking Networks ⋮ Systemic risk statistics with scenario analysis

This page was built for publication: Handbook on Systemic Risk