Network Effects in Default Clustering for Large Systems
We consider a large collection of dynamically interacting components defined on a weighted-directed graph determining the impact of the default of one component to another one. We prove a law of large numbers for the empirical measure capturing the evolution of the different components in the pool a...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Routledge
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |