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Systemic Risk Illustrated
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Systemic Risk Illustrated (2013)Systemic Risk IllustratedBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Dynamic clearing and contagion in financial networks (2024)Dynamic clearing and contagio…Parameter estimation of discretely observed interacting particle systems (2023)Parameter estimation of discr…The LAN property for McKean–Vlasov models in a mean-field regime (2022)The LAN property for McKean–V…Nonparametric estimation for interacting particle systems: McKean–Vlasov models (2021)Nonparametric estimation for …Obligations with Physical Delivery in a Multilayered Financial Network (2019)Obligations with Physical Del…An SPDE model for systemic risk with endogenous contagion (2019)An SPDE model for systemic ri…Systemic Risk and Interbank Lending (2017)Systemic Risk and Interbank L…Systemic Risk, Policies, and Data Needs (2016)Systemic Risk, Policies, and …Bank Runs, Deposit Insurance, and Liquidity (1983)Market Liquidity and Funding Liquidity (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Controlled Markov Processes and Viscosity Solutions (2005)Mean field games (2007)Systemic Risk in Financial Systems (2001)Network models and financial stability (2007)Financial Networks and Contagion (2012)Capital regulation under price impacts and dynamic financial contagion (2019)Optimal Network Compression (2020)Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments (2022)Stochastic Differential Equations: An Introduction with Applications. (1987)Forward-looking solvency contagion (2019)Financial Network and Systemic Risk—A Dynamic Model (2021)Financial Contagion (2000)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Uniqueness for contagious McKean–Vlasov systems in the weak feedback regime (2020)Propagation of minimality in the supercooled Stefan problem (2023)Continuous Martingales and Brownian Motion (1999)Probabilistic Theory of Mean Field Games with Applications I (2018)Probabilistic Theory of Mean Field Games with Applications II (2018)Online parameter estimation for the McKean–Vlasov stochastic differential equation (2023)Limit Theorems for Stochastic Processes (2003)Handbook on Systemic Risk (2013)High-Frequency Financial Econometrics (2014)Mimicking the one-dimensional marginal distributions of processes having an ito differential (1986)Estimation for diffusion processes from discrete observation (1992)Estimation of an Ergodic Diffusion from Discrete Observations (1997)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)A general version of the fundamental theorem of asset pricing (1994)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,541 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited

Cited by

  • 2021Nonparametric estimation for interacting particle systems: McKean–Vlasov models38 cited
  • 2019An SPDE model for systemic risk with endogenous contagion38 cited
  • 2024Dynamic clearing and contagion in financial networks31 cited
  • 2019Obligations with Physical Delivery in a Multilayered Financial Network29 cited
  • 2023Parameter estimation of discretely observed interacting particle systems25 cited
  • 2022The LAN property for McKean–Vlasov models in a mean-field regime24 cited
  • 2017Systemic Risk and Interbank Lending17 cited
  • 2016Systemic Risk, Policies, and Data Needs16 cited

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