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This paper proposes the new concept of stochastic leverage in stochastic volatility models.Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...
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This paper is concerned with systemic risk in the interbank market. We model this market as a directed graph in which the banks represent the nodes and the liabilities between the banks represent the edges. Our work builds on the modelling paradigm of Eisenberg and Noe (2001, Management Science,...
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We consider the problem of systemic risk assessment in interbank networks in which interbank liabilities can have multiple maturities. In particular, we allow for both short-term and long-term interbank liabilities. We develop a clearing mechanism for the interbank liabilities to deal with the...
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