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