A dynamic contagion risk model with recovery features
Date
2019Publisher city
ParisPublisher
Cahier de recherche CEREMADE, Université Paris-DauphinePublishing date
12-2019Link to item file
https://hal.inria.fr/hal-02421342Dewey
Probabilités et mathématiques appliquéesSujet
Random graphs; Collective risk theory; Systemic risk; Default contagion; Interbank network; Insurance-reinsurance networks; Financial stabilityCollections
Metadata
Show full item recordAuthor
Amini, Hamed
455165 Swiss Finance Institute [Lausanne]
Chen, Rui
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Minca, Andreea
72421 Computer Systems Lab - School of Electrical and Computer Engineering - Cornell University [CSL]
Sulem, Agnès
34587 INRIA Rocquencourt