Baglioni, Angelo; Cherubini, Umberto - In: Journal of Economic Dynamics and Control 37 (2013) 8, pp. 1581-1597
We propose a hierarchical Marshall–Olkin model of countrywide systemic risk. At the lower level, we model the systemic risk of a crisis within the banking system (that we call “within” systemic risk) and at the higher level we model the probability of a joint default of the banking system...