An adaptive dynamical model of default contagion

Damian Smug, Julian Ashwin, Peter Ashwin and Didier Sornette

Quantitative Finance, 2022, vol. 22, issue 7, 1217-1227

Abstract: The dynamics of default contagion is modeled in terms of adaptively coupled stochastic measures of financial health

Date: 2022
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DOI: 10.1080/14697688.2022.2039755

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