Publication: Modeling Risk Sharing and Impact on Systemic Risk
Modeling Risk Sharing and Impact on Systemic Risk
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Farkas, W., & Lucescu, P. (2024). Modeling Risk Sharing and Impact on Systemic Risk. Mathematics, 12(13), 2083. https://doi.org/10.3390/math12132083
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This paper develops a simplified agent-based model to investigate the dynamics of risk transfer and its implications for systemic risk within financial networks, focusing specifically on credit default swaps (CDSs) as instruments of risk allocation among banks and firms. Unlike broader models that incorporate multiple types of economic agents, our approach explicitly targets the interactions between banks and firms across three markets: credit, interbank loans, and CDSs. This model diverges from the frameworks established by prior res
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- Lucescu, Patrick
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Farkas, W., & Lucescu, P. (2024). Modeling Risk Sharing and Impact on Systemic Risk. Mathematics, 12(13), 2083. https://doi.org/10.3390/math12132083
