19 citations · 52 across the 21 of their papers we have counts for
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q-fin.MF2022
Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
Zachary Feinstein, Andreas Sojmark
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This…
q-fin.MF2020★ 4 cited
Dynamic Default Contagion in Heterogeneous Interbank Systems
Zachary Feinstein, Andreas Sojmark
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 acc…
q-fin.MF2019★ 6 cited
A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field
Zachary Feinstein, Andreas Sojmark
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion…