Laleh Tafakori

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In this paper we study the fractional moments of the stationary solution to the stochastic recurrence equation Xt = At Xt−1 + Bt, t ∈ Z, where ((At, Bt))t∈Z is an iid bivariate sequence. We derive recursive formulas for the fractional moments E|X0| , p ∈ R. Special attention is given to the case when Bt has an Erlang distribution. We provide various(More)
Article history: Accepted 12 November 2015 Available online 11 December 2015 We present an intuitivemodel of systemic risk to analyse the complex interdependencies between different borrowers.We characterise systemic risk by theway that financial institutions are interconnected. Using their probability of default, we classify different international(More)
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