18 citations · 48 across the 7 of their papers we have counts for
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q-fin.MF2016★ 18 cited
Systemic Risk and Interbank Lending
Li-Hsien Sun
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov…
q-fin.MF2016★ 16 cited
Systemic Risk and Stochastic Games with Delay
Rene Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi +1
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of banks is described by coupl…