MoneyScience News |
- What's wrong with finance
- [1505.00704] Collective synchronization and high frequency systemic instabilities in financial markets
- Published / Preprint: Structural default model with mutual obligations. (arXiv:1505.02039v1 [q-fin.PR])
| Posted: 11 May 2015 03:41 AM PDT Finance and economics: What's wrong with finance http://t.co/KTjUNvpjlB via @TheEconomist #behaviouralfinance — Greg B Davies (@GregBDavies) May 11, 2015 Visit MoneyScience for the Complete Article.      |
| Posted: 11 May 2015 03:41 AM PDT Collective synchronization and high frequency systemic instabilities in financial markets. http://t.co/7PS97fDtXa via @QFinancePapers — D. Geromichalos ScD… Visit MoneyScience for the Complete Article.    |
| Posted: 10 May 2015 05:38 PM PDT This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual obligations more transparent, a simple structural default model with banks' assets driven by correlated multidimensional Brownian motion with drift is considered. This... Visit MoneyScience for the Complete Article.    |
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