Diffusion of Defaults Among Financial Institutions

Book section: The paper proposes a simple unified model for the diffusion of defaults across financial institutions and presents some measures for evaluating the risk imposed by a bank on the system. So far the standard contagion processes might not incorporate some important features of financial contagion.

Author(s)

Gabrielle Demange

Publisher(s)
  • Springer
Scientific editor(s)
  • Frédéric Abergel ; Bikas K. Chakrabarti ; Anirban Chakraborti ; Asim Ghosh
Title of the work
  • Econophysics of Systemic Risk and Network Dynamics
Date of publication
  • 2013
Pages
  • 3-17
Version
  • 1