Banque de France paper models ‘pandemic’ impact of shocks
Researchers build on other recent models of financial markets
A working paper published by the Banque de France offers a model of financial crises that evaluates the impact of shocks on asset markets and interbank channels, as well as on individual banks.
In Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks, Julien Idier and Thibaut Piquard build on other recent research.
They use the network banking model of Gouriéroux, Héam and Monfort and the market channel model of Greenwood, Landier and Thesmar, together
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