Particle systems with singular interaction through hitting times: application in systemic risk modeling
S Nadtochiy, M Shkolnikov - 2019 - projecteuclid.org
We propose an interacting particle system to model the evolution of a system of banks with
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
[PDF][PDF] PARTICLE SYSTEMS WITH SINGULAR INTERACTION THROUGH HITTING TIMES: APPLICATION IN SYSTEMIC RISK MODELING
S NADTOCHIY, M SHKOLNIKOV - arXiv preprint arXiv …, 2017 - researchgate.net
We propose an interacting particle system to model the evolution of a system of banks with
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
Particle systems with singular interaction through hitting times: application in systemic risk modeling
S Nadtochiy, M Shkolnikov - arXiv e-prints, 2017 - ui.adsabs.harvard.edu
We propose an interacting particle system to model the evolution of a system of banks with
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
Particle systems with singular interaction through hitting times: application in systemic risk modeling
S Nadtochiy, M Shkolnikov - 2017 - ideas.repec.org
We propose an interacting particle system to model the evolution of a system of banks with
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
[PDF][PDF] PARTICLE SYSTEMS WITH SINGULAR INTERACTION THROUGH HITTING TIMES: APPLICATION IN SYSTEMIC RISK MODELING
S NADTOCHIY, M SHKOLNIKOV - THE ANNALS, 2019 - imstat.org
We propose an interacting particle system to model the evolution of a system of banks with
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
PARTICLE SYSTEMS WITH SINGULAR INTERACTION THROUGH HITTING TIMES: APPLICATION IN SYSTEMIC RISK MODELING
S NADTOCHIY, M SHKOLNIKOV - The Annals of Applied …, 2019 - projecteuclid.org
Particle systems with singular interaction through hitting times: Application in systemic risk
modeling Page 1 The Annals of Applied Probability 2019, Vol. 29, No. 1, 89–129 https://doi.org/10.1214/18-AAP1403 …
modeling Page 1 The Annals of Applied Probability 2019, Vol. 29, No. 1, 89–129 https://doi.org/10.1214/18-AAP1403 …
Particle systems with singular interaction through hitting times: application in systemic risk modeling
S Nadtochiy, M Shkolnikov - arXiv preprint arXiv:1705.00691, 2017 - arxiv.org
We propose an interacting particle system to model the evolution of a system of banks with
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
Particle systems with singular interaction through hitting times: application in systemic risk modeling
S Nadtochiy, M Shkolnikov - 2017 - econpapers.repec.org
We propose an interacting particle system to model the evolution of a system of banks with
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
[引用][C] Particle systems with singular interaction through hitting times: Application in systemic risk modeling
S Nadtochiy, M Shkolnikov - … probability: an official journal of the …, 2019 - dialnet.unirioja.es
Particle systems with singular interaction through hitting times: Application in systemic risk modeling
S Nadtochiy, M Shkolnikov - Annals of Applied Probability, 2019 - collaborate.princeton.edu
We propose an interacting particle system to model the evolution of a system of banks with
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …
mutual exposures. In this model, a bank defaults when its normalized asset value hits a …