Stability in a model of interbank lending
DOI10.1137/110841096zbMATH Open1295.91099OpenAlexW2034396538MaRDI QIDQ2873149FDOQ2873149
Authors: Jean-Pierre Fouque, Tomoyuki Ichiba 
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/110841096
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stabilitysystemic riskFeller diffusionexit systemmultiple defaultsinteracting particle system algorithminterbank lending system
Applications of graph theory (05C90) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic network models in operations research (90B15) Actuarial science and mathematical finance (91G99)
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