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Probability, Uncertainty and Quantitative Risk
Probability, Uncertainty and Quantitative Risk Cover Image
Fig. 7 | Probability, Uncertainty and Quantitative Risk

Fig. 7

From: The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks

Fig. 7

Average a and standard deviation b of the number of defaults for n=100 banks as a function of integration c for d=10, and for different bankruptcy costs parametrized by α in an integrated financial system with β=0.9, γ=0.2, ρ=0.02, κ=0.8, \(\mathbb {I}=\boldsymbol {1}\) averaged over 100 simulations of Π, each averaged over 100 simulations of C. The simulation procedure is explained in Remark 4.1

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