Tootfinder

This https://arxiv.org/abs/2307.10800 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_mat…

Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times
We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback. Such systems are motivated by structural models for systemic risk with contagion. This contagious interaction is such that when a particle hits zero, the impact is to move all the others toward the origin through a kernel which smooths the impact over time. We study a rescaling of the impact kernel under which it conv…

This https://arxiv.org/abs/2309.15511 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_qfi…

Measuring risk contagion in financial networks with CoVaR
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial institutions (e.g., banks, investment companies, insurance firms) on one side and financial assets on the other. Following empirical evidence, returns from such risky assets are modeled by heavy-tailed distributions, whereas their joint dependence is characterized b…