Stability in a model of interbank lending
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Publication:2873149
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Cited in
(41)- Diffusion on dynamical interbank loan networks
- Optimal connectivity for a large financial network
- Systemic risk and stochastic games with delay
- A unified approach to systemic risk measures via acceptance sets
- Systemic risk in interbanking networks
- Systemic risk and default clustering for large financial systems
- An SPDE model for systemic risk with endogenous contagion
- Dynamic contract design for systemic cyber risk management of interdependent enterprise networks
- On the stability of mean-field stochastic differential equations with irregular expectation functional
- On the instability of private intertemporal liquidity provision
- Control of interbank contagion under partial information
- Diffusion bank networks and capital flows
- Criticality in a model of banking crises
- Peer-to-peer lending: a growth-collapse model and its steady-state analysis
- Financial asset bubbles in banking networks
- Fluctuation analysis for the loss from default
- The dynamical system of the deposit and loan volumes of a commercial bank containing interbank lending and saving factors
- Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
- Systemic losses due to counterparty risk in a stylized banking system
- On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes
- Network effects in default clustering for large systems
- Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
- Systemic risk and interbank lending
- A dynamic network model of interbank lending -- systemic risk and liquidity provisioning
- Strong solutions of mean-field stochastic differential equations with irregular drift
- Mean field games with heterogeneous groups: application to banking systems
- On fairness of systemic risk measures
- On the effect of heterogeneity on flocking behavior and systemic risk
- Contagion and risk-sharing on the inter-bank market
- Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
- A Dynamic Contagion Risk Model with Recovery Features
- Mean-field BSDEs with jumps and dual representation for global risk measures
- Weiterführende Untersuchungen zum dynamischen Beharrungszustand des Bausparens
- Managing Default Contagion in Inhomogeneous Financial Networks
- Dynamic contagion in a banking system with births and defaults
- Stability, uniqueness and existence of solutions to McKean-Vlasov stochastic differential equations in arbitrary moments
- Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process
- Approximation of solutions of mean-field stochastic differential equations
- Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
- Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
- Well-posedness of a system of SDEs driven by jump random measures
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