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systemic risk, contagion, default, macroprudential regulation, financial stability, random graph, network model, financial networks, interconnectedness, balance-sheet contagion
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: MAFI.
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systemic risk, default contagion, random graphs, interbank network, financial stability, macroprudential regulation
CDO, portfolio credit derivatives, model calibration, default risk, inverse problem
File name: j-9965.
collateralized debt obligation, duality, portfolio credit derivatives, reduced‐form models, default risk, intensity control, top‐down credit risk models, relative entropy, inverse problem, model calibration, stochastic control
systemic risk, banking network, stress test, counterparty risk, macro-prudential regulation, complex network, scale-free network
Over the Counter Markets, Central Counterparty Clearing, Market Design, Financial Network, Contagion, Systemic Risk, Credit Default Swap Markets
systemic risk, financial network, credit derivatives, CDS, financial stability, central clearing, CCP, liquidity risk
Systemic risk, Financial networks
systemic risk, liquidity risk, financial contagion, Markov decision process, optimal interventions
Funding Liquidity, Liquidity Risk, Microstructure of Funding Markets, Bank Runs, Credit Risk, Coordination Game, Nash Equilibrium
Financial networks, Mutual Funds, Contagion, Liquidity, Flow Imbalance, Aggregation
Systemic risk, Default contagion, Financial stability, Contagious links, Phase transitions, Complex networks, Inhomogeneous random graphs.
Systemic risk, Liquidity risk, Bank runs, Financial contagion, Financial Networks, Optimal Intervention, , Bail-outs
Funding liquidity, Cash balances, Debt capacity, Optimal investment under market frictions, Stackelberg equilibrium, Heterogeneous creditors
Over the Counter Markets, Financial Network, Partial Multilateral Netting
Financial network, Fund portfolios, Vulnerability, Centrality, Forecasting, Graph clustering
Bank runs, funding liquidity, debt capacity, Nash equilibrium
Financial Network, Systemic Risk, Eiseberg Noe Model, Asset Price Contagion
Systemic risk, Optimal control, Financial networks, Lender of last resort
Multi-Dimensional Risk Process, Sparre-Andersen Process, Markov Additive Process, Matrix Exponential Approximation, Ruin Probability.
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