Network valuation in financial systems
Work
Year: 2020
Type: article
Abstract: We introduce a general model for the balance‐sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdep... more
Source: Mathematical Finance
Institutions University College London, Bank of England, Systemic Risk Centre, London School of Economics and Political Science, London Mathematical Laboratory +8 more
Cites: 76
Cited by: 26
Related to: 10
FWCI: 12.41
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: hybrid
APC paid (est): $3,660