Particle systems with singular interaction through hitting times: Application in systemic risk modeling
نویسندگان
چکیده
منابع مشابه
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. The strength of this interaction is determined by the level of the so-called non-core exposure. We...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2019
ISSN: 1050-5164
DOI: 10.1214/18-aap1403