Corpus ID: 237503281

Strong Approximations and Irrationality in Financial Networks with Financial Derivatives

@article{Ioannidis2021StrongAA,
  title={Strong Approximations and Irrationality in Financial Networks with Financial Derivatives},
  author={Stavros D. Ioannidis and Bart de Keijzer and Carmine Ventre},
  journal={ArXiv},
  year={2021},
  volume={abs/2109.06608}
}
Financial networks model a set of financial institutions (firms) interconnected by obligations. Recent work has introduced to this model a class of obligations called credit default swaps, a certain kind of financial derivatives. The main computational challenge for such systems is known as the clearing problem, which is to determine which firms are in default and to compute their exposure to systemic risk, technically known as their recovery rates. It is known that the recovery rates form the… Expand

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