9 citations · 12 across the 5 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
math.PR2021★ 1 cited
Stopping Times Occurring Simultaneously
Philip Protter, Alejandra Quintos
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. T…
q-fin.MF2021★ 2 cited
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
Robert Jarrow, Philip Protter, Alejandra Quintos
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The d…