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.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Using Network Interbank Contagion in Bank Default Prediction
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network mo…
PredictionregressionEndogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjus…
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 examination of default risk. This framewor…
A data-driven econo-financial stress-testing framework to estimate the effect of supply chain networks on financial systemic risk
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production o…
A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion mechanism provides an endogenous rule fo…