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Tasca et al., 2016 - Google Patents

Market procyclicality and systemic risk

Tasca et al., 2016

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Document ID
14313110058635487267
Author
Tasca P
Battiston S
Publication year
Publication venue
Quantitative Finance

External Links

Snippet

We develop a model that captures, at the same time, the temporal dynamics of single-firm credit risk and the contagion across banks via a network of obligations and common assets. In particular, we enrich the continuous-time modelling approach of default by accounting …
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