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Handbook on Systemic Risk by Joseph A. Langsam, Jean-Pierre Fouque

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20

Counterparty Contagion in Context: Contributions to Systemic Risk

Jeremy Staum

Abstract This chapter surveys models of counterparty contagion and their application in systemic risk management, emphasizing the network of counterparty relationships. It addresses how counterparty contagion contributes to systemic risk in combination with other sources of risk, and how models of counterparty contagion can be used to attribute systemic risk to participants in the financial system. The article discusses challenges and possible progress to be made in modeling the counterparty network and the dynamics of the financial system.

20.1 Introduction

This survey attempts to present a unified view of a mushrooming literature on counterparty contagion and ...

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