Contagious McKean–Vlasov systems with heterogeneous impact and exposure
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More about this item
Keywords
mean-field limit; contagion; heterogeneous network; default cascades; dynamic interbank model; systemic risk; Springer deal;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2023-08-14 (Banking)
- NEP-NET-2023-08-14 (Network Economics)
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