Marco D’Errico

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

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Network Valuation in Financial Systems

Mathematical Finance, Vol. 30, Issue 4, pp. 1181-1204, 2020
Number of pages: 24 Posted: 07 Oct 2020
University College London, Bank of England, University College London, European Central Bank (ECB), University of Zurich - Institute of Mathematics, University of Zurich - Department of Banking and Finance and IMT Alti Studi Lucca
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Abstract:

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contagion, credit risk, financial networks, mark‐to‐market losses, systemic risk