An adaptive dynamical model of default contagion

Damian Smug, Julian Ashwin, Peter Ashwin*, Didier Sornette

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

The dynamics of default contagion is modeled in terms of adaptively coupled stochastic measures of financial health
Original languageEnglish
Pages (from-to)1217-1227
Number of pages11
JournalQuantitative Finance
Volume22
Issue number7
Early online dateApr 2022
DOIs
Publication statusPublished - 3 Jul 2022
Externally publishedYes

Keywords

  • Systemic risk
  • Network models
  • Stability
  • Leverage

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