Menu

Distress and Default Contagion in Financial Networks

November 7, 2019

Existing models do not do an effective job of accounting for the spread of contagion, particularly pre-default. Luitgard A. M. Veraart proposes a new model for solvency contagion that can be used to quantify systemic risk in stress tests.

BylawsCode of ConductPrivacy NoticeTerms of Use © 2022 Global Association of Risk Professionals