Contagious McKean-Vlasov systems with heterogeneous impact and exposure

DOI10.1007/s00780-023-00504-2zbMath1520.91424arXiv2104.06776OpenAlexW3213534297MaRDI QIDQ6111007

Zachary Feinstein, Andreas Søjmark

Publication date: 6 July 2023

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.06776

zbMATH Keywords

contagionmean-field limitheterogeneous networksystemic riskdefault cascadesdynamic interbank model

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Financial networks (including contagion, systemic risk, regulation) (91G45)

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