Book contents
- Frontmatter
- Contents
- Contributors
- Introduction
- PART I DATA: THE PREREQUISITE FOR MANAGING SYSTEMIC RISK
- PART II STATISTICS AND SYSTEMIC RISK
- PART III MEASURING AND REGULATING SYSTEMIC RISK
- PART IV NETWORKS
- PART V SYSTEMIC RISK ANDMATHEMATICAL FINANCE
- 14 Firms, Banks and Households
- 15 An Agent-Based Computational Model for Bank Formation and Interbank Networks
- 16 Diversification in Financial Networks may Increase Systemic Risk
- 17 Systemic Risk Illustrated
- 18 Financial Crisis and Contagion: A Dynamical Systems Approach
- PART VI COUNTERPARTY RISK AND SYSTEMIC RISK
- PART VII ALGORITHMIC TRADING
- PART VIII BEHAVIORAL FINANCE: THE PSYCHOLOGICAL DIMENSION OF SYSTEMIC RISK
- PART IX REGULATION
- PART X COMPUTATIONAL ISSUES AND REQUIREMENTS
- PART XI ACCOUNTING ISSUES
- References
17 - Systemic Risk Illustrated
from PART V - SYSTEMIC RISK ANDMATHEMATICAL FINANCE
Published online by Cambridge University Press: 05 June 2013
Book contents
- Frontmatter
- Contents
- Contributors
- Introduction
- PART I DATA: THE PREREQUISITE FOR MANAGING SYSTEMIC RISK
- PART II STATISTICS AND SYSTEMIC RISK
- PART III MEASURING AND REGULATING SYSTEMIC RISK
- PART IV NETWORKS
- PART V SYSTEMIC RISK ANDMATHEMATICAL FINANCE
- 14 Firms, Banks and Households
- 15 An Agent-Based Computational Model for Bank Formation and Interbank Networks
- 16 Diversification in Financial Networks may Increase Systemic Risk
- 17 Systemic Risk Illustrated
- 18 Financial Crisis and Contagion: A Dynamical Systems Approach
- PART VI COUNTERPARTY RISK AND SYSTEMIC RISK
- PART VII ALGORITHMIC TRADING
- PART VIII BEHAVIORAL FINANCE: THE PSYCHOLOGICAL DIMENSION OF SYSTEMIC RISK
- PART IX REGULATION
- PART X COMPUTATIONAL ISSUES AND REQUIREMENTS
- PART XI ACCOUNTING ISSUES
- References
Summary
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- Handbook on Systemic Risk , pp. 444 - 452Publisher: Cambridge University PressPrint publication year: 2013
References
, , and (2005). Representations of the first hitting time density of an Ornstein–Uhlenbeck process. Stochastic Models 21 (4) 967–980.Google Scholar
, , and (2008). First passage model under stochastic volatility. Journal of Computational Finance 11 (3) 43–78.Google Scholar
(1991). Topics in propagation of chaos. In Ecole d'Eté de Probabilités de Saint-FlourXIX, Springer Lecture Notes in Mathematics 1464 165-251.Google Scholar
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