4 citations · 9 across the 11 of their papers we have counts for
3 papers · 1 filter
Financial asset bubbles in banking networks
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis
We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the c…
On Fairness of Systemic Risk Measures
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli +1
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk…
Extended Reduced-Form Framework for Non-Life Insurance
Francesca Biagini, Yinglin Zhang
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life i…