An adaptive dynamical model of default contagion

DOI10.1080/14697688.2022.2039755MaRDI QIDQ5092640zbMATH OpenOpenAlexWikidataFDO

Authors Damian Smug, Julian Ashwin, Peter Ashwin, D. Sornette

Publication date 22 July 2022

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2022.2039755

zbMATH Keywords

contagioncopuladefaultSDE

Mathematics Subject Classification ID

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

Recommendations

• Managing Default Contagion in Inhomogeneous Financial Networks
• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
• Diffusion of defaults among financial institutions
• Large portfolio losses: A dynamic contagion model

Cites work

• A simple model of global cascades on random networks
• An introduction to copulas.
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• Continuous Bivariate Distributions
• Credit chains and bankruptcy propagation in production networks
• Default clustering in large portfolios: typical events
• Entry, Exit, and firm Dynamics in Long Run Equilibrium
• Extreme Financial Risks
• Fluctuation analysis for the loss from default
• Forward-looking solvency contagion
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Kramers law: validity, derivations and generalisations
• Liquidity flows in interbank networks
• Network models and financial stability
• Oscillatory finite-time singularities in finance, population and rupture
• Running for the exit: distressed selling and endogenous correlation in financial markets
• Stochastic processes in physics and chemistry.
• The dynamics of the leverage cycle
• The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks

Cited in

(8)

• An SPDE model for systemic risk with endogenous contagion
• Financial contagion through space-time point processes
• Diffusion of defaults among financial institutions
• A Dynamic Contagion Risk Model with Recovery Features
• A discrete dynamics approach to interbank financial contagion
• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
• Modelling default contagion using multivariate phase-type distributions
• A default system with overspilling contagion

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