On the effect of heterogeneity on flocking behavior and systemic risk

DOI10.1515/strm-2016-0013zbMath1372.60036arXiv1607.08287OpenAlexW3121546191MaRDI QIDQ2409063

Fei Fang, Yiwei Sun, Konstantinos V. Spiliopoulos

Publication date: 10 October 2017

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.08287

zbMATH Keywords

heterogeneitysystemic riskinteracting diffusionsflocking behavior

Mathematics Subject Classification ID

Strong limit theorems (60F15) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Related Items (2)

Financial Asset Bubbles in Banking Networks ⋮ Mean field games with heterogeneous groups: application to banking systems

Cites Work

• Unnamed Item
• A new model for self-organized dynamics and its flocking behavior
• Default clustering in large portfolios: typical events
• Large Deviations for a Mean Field Model of Systemic Risk
• Stability in a Model of Interbank Lending
• Systemic Risk and Default Clustering for Large Financial Systems
• Handbook on Systemic Risk
• Default Clustering in Large Pools: Large Deviations

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