3 citations · 9 across the 6 of their papers we have counts for
7 papers
COVID-19: Analytics Of Contagion On Inhomogeneous Random Social Networks
T. R. Hurd
Motivated by the need for novel robust approaches to modelling the Covid-19 epidemic, this paper treats a population of individuals as an inhomogeneous random social network (I…
Systemic Cascades On Inhomogeneous Random Financial Networks
T. R. Hurd
This systemic risk paper introduces inhomogeneous random financial networks (IRFNs). Such models are intended to describe parts, or the entirety, of a highly heterogeneous network…
Bank Panics and Fire Sales, Insolvency and Illiquidity
T. R. Hurd
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far…
The Construction and Properties of Assortative Configuration Graphs
T. R. Hurd
In the new field of financial systemic risk, the network of interbank counterparty relationships can be described as a directed random graph. In "cascade models" of systemic risk,…
Portfolio Choice in Markets with Contagion
Yacine Aït-Sahalia, T. R. Hurd
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump proce…
A framework for analyzing contagion in banking networks
Thomas R. Hurd, James P. Gleeson
A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial…