142 citations · 280 across the 34 of their papers we have counts for
Showing 2019Show all
3 papers · 1 filter
q-fin.MF2019★ 6 cited
A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field
Zachary Feinstein, Andreas Sojmark
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion…
q-fin.RM2019★ 6 cited
Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
Çağın Ararat, Zachary Feinstein
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynami…
q-fin.MF2019
Price mediated contagion through capital ratio requirements with VWAP liquidation prices
Tathagata Banerjee, Zachary Feinstein
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In…