Thomas R. Hurd

McMaster University - Department of Mathematics and Statistics

Professor

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

791

SSRN CITATIONS
Rank 38,628

SSRN RANKINGS

Top 38,628

in Total Papers Citations

6

CROSSREF CITATIONS

13

Scholarly Papers (6)

1.

Portfolio Choice in Markets with Contagion

Number of pages: 33 Posted: 05 Oct 2012 Last Revised: 27 Mar 2015
Yacine Ait-Sahalia and Thomas R. Hurd
Princeton University - Department of Economics and McMaster University - Department of Mathematics and Statistics
Downloads 464 (72,206)
Citation 4

Abstract:

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Merton problem, jumps, Hawkes process, mutual excitation, contagion, flight-to-quality

2.

A Framework for Analyzing Contagion in Banking Networks

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-14
Number of pages: 24 Posted: 19 Oct 2011 Last Revised: 28 Nov 2018
Thomas R. Hurd and James P. Gleeson
McMaster University - Department of Mathematics and Statistics and University of Limerick, Ireland
Downloads 125 (263,001)
Citation 16

Abstract:

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Systemic risk, banking network, contagion, random graph, cascade condition, credit risk, financial mathematics, assortativity

3.

The Joint Mortality of Couples in Continuous Time

Number of pages: 17 Posted: 01 Nov 2016
Petar Jevtic and Thomas R. Hurd
McMaster University - Department of Mathematics and Statistics and McMaster University - Department of Mathematics and Statistics
Downloads 91 (326,866)

Abstract:

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joint life mortality, continuous time mortality models

4.

Illiquidity and Insolvency: A Double Cascade Model of Financial Crises

Number of pages: 28 Posted: 19 Apr 2014 Last Revised: 12 Nov 2014
McMaster University - Department of Mathematics and Statistics, University of Limerick - Department of Mathematics and Statistics, University of Limerick and McMaster University - Department of Mathematics and Statistics
Downloads 89 (331,428)
Citation 6

Abstract:

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systemic risk, banking network, contagion, random graph, default, funding liquidity, credit risk, financial mathematics

5.

Bank Panics and Fire Sales, Insolvency and Illiquidity

Number of pages: 29 Posted: 06 Dec 2017
Thomas R. Hurd
McMaster University - Department of Mathematics and Statistics
Downloads 22 (588,693)
Citation 1

Abstract:

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Systemic risk, banking network, stock flow consistency, asset liability symmetry, cascade, interbank exposure, funding liquidity, insolvency, indirect contagion, asset fire sales, bank panics

6.

Credit Risk Modeling Using Time-Changed Brownian Motion

International Journal of Theoretical and Applied Finance (IJTAF), 2009
Posted: 05 Jul 2010
Thomas R. Hurd
McMaster University - Department of Mathematics and Statistics

Abstract:

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Credit risk, structural credit model, time change, Lévy process, first passage time, default probability, credit derivative