Hurd, T. R. - In: Mathematics and Financial Economics 17 (2023) 1, pp. 1-21
behavioural response is modelled by a cascade mechanism that tracks the propagation of damaging shocks and possible amplification … of the crisis, and leads the system to a cascade equilibrium. The mathematical properties of the stochastic framework are … investigated for the first time in a generalization of the Eisenberg–Noe solvency cascade mechanism that accounts for fractional …