AMINI, HAMED; CONT, RAMA; MINCA, ANDREEA - In: International Journal of Theoretical and Applied … 15 (2012) 01, pp. 1250006-1
We propose a simulation-free framework for stress testing the resilience of a financial network to external shocks affecting balance sheets. Whereas previous studies of contagion effects in financial networks have relied on large scale simulations, our approach uses a simple analytical criterion...