论文标题
异构银行间系统中的动态默认传染
Dynamic Default Contagion in Heterogeneous Interbank Systems
论文作者
论文摘要
在这项工作中，我们提供了一个简单的设置，该设置将Gai-Kapadia Interbank网络的结构建模方法与默认传染的平均场方法联系起来。为此，我们做出了两个关键的贡献。首先，我们提出了一个动态默认传染模型，具有内源性早期默认设置的有限银行，从而推广了Gai-Kapadia框架。其次，我们将该系统重新制定为一种随机粒子系统，从而导致限制平均场问题。我们研究了这些清除系统的存在，对于平均场问题，我们研究了系统响应的连续性。
In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion. To accomplish this we make two key contributions. First, we propose a dynamic default contagion model with endogenous early defaults for a finite set of banks, generalising the Gai-Kapadia framework. Second, we reformulate this system as a stochastic particle system leading to a limiting mean-field problem. We study the existence of these clearing systems and, for the mean-field problem, the continuity of the system response.
