2 papers
q-fin.RM2024
The role of debt valuation factors in systemic risk assessment
Kamil Fortuna, Janusz Szwabiński
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth lar…
q-fin.MF2023
The Unified Framework for Modelling Credit Cycles with Marshall-Walras Price Formation Process And Systemic Risk Assessment
Kamil Fortuna, Janusz Szwabiński
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them du…