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Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk

Robert A. JarrowPhilip ProtterAlejandra Quintos
Social Science Research Network
Oct 2021
摘要
This paper characterizes the probability of a market failure defined as the simultaneous default of two globally systemically important banks (G-SIBs), where the default probabilities are correlated. The characterization employs a multivariate Cox process across the G-SIBs. Various theorems related to market failure probabilities are derived, including the impact of increasing the number of G-SIBs in an economy and changing the initial conditions of the economy's state variables.
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