DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM

DOI10.1111/mafi.12009zbMath1314.91191arXiv1108.1133OpenAlexW3122882656MaRDI QIDQ5175223

Agostino Capponi, Martin Larsson

Publication date: 20 February 2015

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

Full work available at URL: https://arxiv.org/abs/1108.1133

zbMATH Keywords

equilibriumdefault risksystemic risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Unnamed Item
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• Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
• FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS

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