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 , p ∈ R. Special attention is given to the case when Bt has an Erlang distribution. We provide various(More)
a r t i c l e i n f o We present an intuitive model of systemic risk to analyse the complex interdependencies between different borrowers. We characterise systemic risk by the way that financial institutions are interconnected. Using their probability of default, we classify different international financial institutions into five rating groups. Then we use(More)
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