Dynamic contagion in a banking system with births and defaults
Year of publication: |
2019
|
---|---|
Authors: | Ichiba, Tomoyuki ; Ludkovski, Michael ; Sarantsev, Andrey |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 15.2019, 4, p. 489-538
|
Subject: | Default contagion | Mean field limit | Interacting birth-and-death process | McKean–Vlasov jump-diffusion | Propagation of chaos | Lyapunov function | Ansteckungseffekt | Contagion effect | Chaostheorie | Chaos theory | Insolvenz | Insolvency |
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