Contagious McKean-Vlasov systems with heterogeneous impact and exposure
Year of publication: |
2023
|
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Authors: | Feinstein, Zachary ; Søjmark, Andreas |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 27.2023, 3, p. 663-711
|
Subject: | Contagion | Default cascades | Dynamic interbank model | Heterogeneous network | Mean-field limit | Systemic risk | Theorie | Theory | Ansteckungseffekt | Contagion effect | Systemrisiko | Finanzkrise | Financial crisis | Kreditrisiko | Credit risk |
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