An SPDE model for systemic risk with endogenous contagion
We propose a dynamic mean field model for ‘systemic risk’ in large financial systems, which we derive from a system of interacting diffusions on the positive half-line with an absorbing boundary at the origin. These diffusions represent the distancesto-default of financial institutions and absorptio...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Springer
2019
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