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Contagion! Systemic Risk in Financial Networks (SpringerBriefs in Quantitative Finance)

Amazon.com Price:  $42.67 (as of 12/05/2019 16:30 PST- Details)

Description

This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can result in instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises is also better understood by bringing to bear ideas from studying other complex systems in our world. After taking into consideration how people have viewed financial crises and systemic risk previously, it delves into the mechanics of the interactions between banking counterparties. It finds a common mathematical structure for varieties of crises that proceed through cascade mappings that approach a cascade equilibrium. Later chapters follow this theme, starting from the underlying random skeleton graph, developing into the idea of bootstrap percolation, in the end leading to techniques that may decide the massive scale nature of contagious financial cascades.

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