[PDF][PDF] Dynamic clearing and contagion in financial networks
In this paper we will consider a generalized extension of the Eisenberg-Noe model of
financial contagion to allow for time dynamics in both discrete and continuous time …
financial contagion to allow for time dynamics in both discrete and continuous time …
Dynamic default contagion in heterogeneous interbank systems
Z Feinstein, A Søjmark - SIAM Journal on Financial Mathematics, 2021 - SIAM
In this work we provide a simple setting that connects the structural modeling approach of
Gai--Kapadia interbank networks with the mean-field approach to default contagion. To …
Gai--Kapadia interbank networks with the mean-field approach to default contagion. To …
Clustering heterogeneous financial networks
We develop a convex‐optimization clustering algorithm for heterogeneous financial
networks, in the presence of arbitrary or even adversarial outliers. In the stochastic block …
networks, in the presence of arbitrary or even adversarial outliers. In the stochastic block …
Dynamic clearing and contagion in financial networks
In this paper we introduce a generalized extension of the Eisenberg–Noe model of financial
contagion to allow for time dynamics of the interbank liabilities, including a dynamic …
contagion to allow for time dynamics of the interbank liabilities, including a dynamic …