Clearing models for systemic risk assessment in interbank networks
In this thesis I consider the problem of clearing models used for systemic risk assessment in interbank networks. I investigate two extensions of the classical Eisenberg & Noe (2001) model. The first extension permits the analysis of networks with interbank liabilities of several maturities. I d...
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London School of Economics and Political Science (University of London)
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.755880 |