Derivatives and credit contagion in interconnected networks
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- Sebastian Heise & Reimer Kuehn, 2012. "Derivatives and Credit Contagion in Interconnected Networks," Papers 1202.3025, arXiv.org.
References listed on IDEAS
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- Henry, Jérôme & Kok, Christoffer & Amzallag, Adrien & Baudino, Patrizia & Cabral, Inês & Grodzicki, Maciej & Gross, Marco & Halaj, Grzegorz & Kolb, Markus & Leber, Miha & Pancaro, Cosimo & Sydow, Matt, 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
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- Andreas Muhlbacher & Thomas Guhr, 2018. "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Papers 1803.00261, arXiv.org.
- Brunnermeier, M. & Clerc, L. & Scheicher, M., 2013. "Assessing contagion risks in the CDS market," Financial Stability Review, Banque de France, issue 17, pages 123-134, April.
- Diego Aparicio & Daniel Fraiman, 2015. "Banking Networks and Leverage Dependence: Evidence from Selected Emerging Countries," Papers 1507.01901, arXiv.org.
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KeywordsStatistical and Nonlinear Physics;
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