Dynamic Default Contagion in Heterogeneous Interbank Systems
In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion. To accomplish this we make two key contributions. First, we propose a dynamic default contagion model with endogenous early defaults for a finite set of banks, generalising the Gai-Kapadia framework. Second, we reformulate this system as a stochastic particle system leading to a limiting mean-field problem. We study the existence of these clearing systems and, for the mean-field problem, the continuity of the system response.
PDF AbstractTasks
Datasets
Add Datasets
introduced or used in this paper
Results from the Paper
Submit
results from this paper
to get state-of-the-art GitHub badges and help the
community compare results to other papers.
Methods
No methods listed for this paper. Add
relevant methods here
