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Endogenous Distress Contagion in a Dynamic Interbank Model: How Possible Future Losses May Spell Doom Today

open access: yesMathematical Finance, EarlyView.
ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
wiley   +1 more source

THE PUBLICITY TOOLS [PDF]

open access: yes, 2016
Bondar, I.   +3 more
core  

Childs' 1925 : 50th anniversary

open access: green, 1925
John Lewis Childs (Firm)   +1 more
openalex   +2 more sources

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