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Limiting characteristic function of the total solvency shock
Let $S^{(0)}_{1}=\sum_{w\ne 1}S^{(0)}_{w1}$ be the total solvency shock transmitted to bank $1$ in step $0$ , conditioned on the type $T_1=T$ . Let $\hat f^{(0)}_\Delta(k'\mid T')$ ,…
Conjectureopencharacteristic-functions random-financial-networks solvency-cascadesarXiv posted 2 days ago
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Tractable asymptotic form for cascade models with the LTI property
The LTI property is assumed to describe a class of cascade models on large inhomogeneous random financial networks. LTI asymptotic tractability conjecture. Some cascade models shou…
Conjectureopenasymptotic-analysis cascade-models random-financial-networksarXiv posted 2 days ago

Limiting characteristic function of the total solvency shock