Systemic risk in interbanking networks
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Publication:5258451
DOI10.1137/130937664zbMATH Open1315.91065OpenAlexW3123893832MaRDI QIDQ5258451FDOQ5258451
Authors: Agostino Capponi, Lijun Bo 
Publication date: 26 June 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/130937664
Recommendations
weak convergenceinteracting jump diffusionsinterbanking lendingsystemic indicatorstime varying square root diffusions
Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Credit risk (91G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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