| Autor: |
Masato Hisakado, Kaneko Takuya |
| Rok vydání: |
2020 |
| Předmět: |
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| Zdroj: |
Advanced Studies of Financial Technologies and Cryptocurrency Markets ISBN: 9789811544972 |
| DOI: |
10.1007/978-981-15-4498-9_5 |
| Popis: |
We study contagious defaults of banks by applying a voting model. The network of banks are created by the relation, lending and borrowing among banks. We introduce the response function from Merton model. Using this response function we calculate the probability of default (PD) which includes not only changes of asset values but also the effects of connected banks’ defaults using the mean field approximation. If we approximate the normal distribution which Merton model uses by \(\tanh \) function, we can obtain the kinetic Ising model which represents phase transition. The asset volatility plays the role of temperature. In the low temperature limit, the model becomes the threshold model. We calculate PD which shows the effect of the situations around the bank as the additional PD using the self consistent equation. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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