Financial Asset Bubbles in Banking Networks

We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, where banks in the core hold a bubbly asset. Investments are modeled by the weight of the links, which is a function of the robustness of the banks...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	SIAM journal on financial mathematics 2019-01, Vol.10 (2), p.430-465
Hauptverfasser:	Biagini, Francesca, Mazzon, Andrea, Meyer-Brandis, Thilo
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!