An adaptive dynamical model of default contagion

DOI10.1080/14697688.2022.2039755zbMath1503.91154OpenAlexW4226156384MaRDI QIDQ5092640

Damian Smug, Julian Ashwin, Peter Ashwin, Didier Sornette

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

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

zbMATH Keywords

copuladefaultcontagionSDE

Mathematics Subject Classification ID

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

Cites Work

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• A simple model of global cascades on random networks
• Liquidity Flows in Interbank Networks*

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