Diffusion of Defaults Among Financial Institutions
Chapitre d'ouvrage: 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.
Auteur(s)
Gabrielle Demange
Éditeur(s)
- Springer
Éditeur(s) scientifique(s)
- Frédéric Abergel ; Bikas K. Chakrabarti ; Anirban Chakraborti ; Asim Ghosh
Titre de l’ouvrage
- Econophysics of Systemic Risk and Network Dynamics
Date de publication
- 2013