A default system with overspilling contagion

DOI10.3934/FMF.2024003MaRDI QIDQ6549692zbMATH OpenFDO

Authors Delia Coculescu, Gabriele Visentin

Publication date 4 June 2024

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/FMF.2024003

zbMATH Keywords

contagioncredit derivativescredit riskenlargement of filtrationsnon-Markovian processesstochastic differential equations

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

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