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...
Veröffentlicht in: | The Annals of Applied Probability. - Institute of Mathematical Statistics. - 29(2019), 1, Seite 89-129 |
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Format: | Online-Aufsatz |
Sprache: | English |
Veröffentlicht: |
2019
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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... |
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