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Complexity, Concentration and Contagion - paper by Prasanna Gai, Andrew Haldane and Sujit Kapadia
Complexity, Concentration and Contagion - paper by Prasanna Gai, Andrew Haldane and Sujit Kapadia
This paper develops a network model of interbank lending in which unsecured claims, repo activity and shocks to the haircuts applied to collateral assume centre stage.
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Complexity, concentration and contagion
