Quantifying the importance of different contagion channels as sources of systemic risk |
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| Authors: | Siebenbrunner Christoph |
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| Affiliation: | 1.Mathematical Institute, University of Oxford, Andrew Wiles Building, Radcliffe Observatory Quarter, Woodstock Road, Oxford, OX2 6GG, UK
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| Abstract: | Journal of Economic Interaction and Coordination - A framework that allows computing contagion effects from both direct exposure contagion and overlapping portfolios is presented. The effects of... |
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