Dynamic contagion in a banking system with births and defaults
We consider a dynamic model of interconnected banks. New banks can emerge, and existing banks can default, creating a birth-and-death setup. Microscopically, banks evolve as independent geometric Brownian motions. Systemic effects are captured through default contagion: as one bank defaults, reserve...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer Verlag
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |