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Next Dates: - Introduction to QuantLib Development with Luigi Ballabio, September 2 - 4, 2013 - £1700

 

New: Heterogeneity, Correlations and Financial Contagion

Mon, 12 Mar 2012 00:16:44 GMT

We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion conditional on the failure of a random bank, the most connected bank and the biggest bank, and we consider

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