Interacting Particle Systems for Systemic Risk
Interacting Particle Systems for Systemic Risk
Interacting Particle Systems for Systemic Risk
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<strong>Systemic</strong> <strong>Risk</strong>: Motivation Stochastic Model Simulating <strong>Systemic</strong> Shocks Examples of Rare EventsGenealogy of the path-particles130125120115110N(t)105100959085800 10 20 30 40 50 60Time tFigure: Three particle genealogies conditional on a high number of defaults.20Ludkovski<strong>Systemic</strong> <strong>Risk</strong>
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