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distribution given by Extreme Value Theory (EVT), intermediaries maintain a constant probability of default to shifts in the …
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distribution given by Extreme Value Theory (EVT), intermediaries maintain a constant probability of default to shifts in the …
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We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency. The banks and investors...
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