Systemic risk in a mean-field model of interbank lending with self-exciting shocks
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DOI: 10.1080/24725854.2018.1448491
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- Anastasia Borovykh & Andrea Pascucci & Stefano la Rovere, 2017. "Systemic risk in a mean-field model of interbank lending with self-exciting shocks," Papers 1710.00231, arXiv.org, revised Jun 2018.
References listed on IDEAS
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Cited by:
- Zachary Feinstein & Andreas Sojmark, 2019. "A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field," Papers 1912.08695, arXiv.org.
- Yaguang Wu & Qingan Qiu, 2022. "Optimal Triggering Policy of Protective Devices Considering Self-Exciting Mechanism of Shocks," Mathematics, MDPI, vol. 10(15), pages 1-18, August.
- Chotipong Charoensom & Thaisiri Watewai, 2022. "Optimal Liquidity Control and Systemic Risk in an Interbank Network with Liquidity Shocks and Regime-dependent Interconnectedness," PIER Discussion Papers 175, Puey Ungphakorn Institute for Economic Research.
- Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.
- Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
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