A response function of Merton model and kinetic Ising model

DOI10.1007/978-981-15-4498-9_5MaRDI QIDQ5148841zbMATH OpenOpenAlexFDO

Authors Masato Hisakado, Takuya Kaneko

Publication date 5 February 2021

Published in Advanced Studies of Financial Technologies and Cryptocurrency Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-981-15-4498-9_5

zbMATH Keywords

contagioncredit risk managementdefault probabilitynetwork

Mathematics Subject Classification ID

Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• A simple model of global cascades on random networks
• Brownian motion in the stock market
• Contagion in financial networks
• Digital herders and phase transition in a voting model
• Information cascade on networks
• Phase transition and information cascade in a voting model

Cited in

(1)

• Long range Ising model for credit risk modeling

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