#### Filter Results:

- Full text PDF available (3)

#### Publication Year

2012

2017

- This year (1)
- Last 5 years (3)
- Last 10 years (3)

#### Publication Type

#### Co-author

#### Journals and Conferences

Learn More

- Li-Hsien Sun
- 2014

We propose a simple model of inter-bank borrowing and lending where the evolution of the logmonetary reserves of N banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the system depends on the rate of inter-bank borrowing and lending. Systemic risk is characterized by a large number of banks… (More)

We study the behavior of diffusions coupled through their drifts in a way that each component mean-reverts to the mean of the ensemble. In particular, we are interested in the number of components reaching a “default” level in a given time. This coupling creates stability of the system in the sense that there is a large probability of “nearly no default” as… (More)

- Takeshi Emura, Ting-Hsuan Long, Li-Hsien Sun
- Communications in Statistics - Simulation and…
- 2017

- ‹
- 1
- ›