Found 10 Documents (Results 1–10)
An adaptive dynamical model of default contagion. (English) Zbl 1503.91154
Reviewer: Jacek Jakubowski (Warszawa)
A repo model of fire sales with VWAP and LOB pricing mechanisms. (English) Zbl 1487.91152
MSC:
91G45
Price mediated contagion through capital ratio requirements with VWAP liquidation prices. (English) Zbl 1490.91233
MSC:
91G45
Capital regulation under price impacts and dynamic financial contagion. (English) Zbl 1431.91420
MSC:
91G45
Obligations with physical delivery in a multilayered financial network. (English) Zbl 1471.91606
Reviewer: Vassil Grozdanov (Blagoevgrad)
Impact of contingent payments on systemic risk in financial networks. (English) Zbl 1422.91740
MSC:
91G40
91B30
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. (English) Zbl 1419.91667
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