Assessing interbank contagion using simulated networks

DOI10.1007/s10287-013-0168-4zbMath1282.91399MaRDI QIDQ2438067

Grzegorz Hałaj, Christoffer Kok

Publication date: 10 March 2014

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

Full work available at URL: http://hdl.handle.net/10419/153939

zbMATH Keywords

banking; network theory; systemic risk; interbank contagion; stress-testing

Mathematics Subject Classification ID

90B15: Stochastic network models in operations research

91G99: Actuarial science and mathematical finance

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Uses Software

• CAViaR

Cites Work

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