PARTICLE SYSTEMS WITH SINGULAR INTERACTION THROUGH HITTING TIMES : APPLICATION IN SYSTEMIC RISK MODELING

We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and its default causes instantaneous losses to other banks, possibly triggering a cascade of defaults. T...

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Veröffentlicht in:	The Annals of Applied Probability. - Institute of Mathematical Statistics. - 29(2019), 1, Seite 89-129
1. Verfasser:	Nadtochiy, Sergey (VerfasserIn)
Weitere Verfasser:	Shkolnikov, Mykhaylo
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2019
Zugriff auf das übergeordnete Werk:	The Annals of Applied Probability
Schlagworte:	Banking systems blow-ups in parabolic partial differential equations default cascades interacting particle systems large system limits loss of continuity mean-field models noncore exposures nonlinear Cauchy–Dirichlet problems regularity estimates mehr... self-excitation singular interaction systemic crises systemic risk