{"id":"https://openalex.org/W2498866404","doi":"https://doi.org/10.1017/cbo9781139151184.023","title":"Systemic Risk Illustrated","display_name":"Systemic Risk Illustrated","publication_year":2013,"publication_date":"2013-05-23","ids":{"openalex":"https://openalex.org/W2498866404","doi":"https://doi.org/10.1017/cbo9781139151184.023","mag":"2498866404"},"language":"en","primary_location":{"id":"doi:10.1017/cbo9781139151184.023","doi":"https://doi.org/10.1017/cbo9781139151184.023","is_oa":false,"landing_page_url":"https://doi.org/10.1017/cbo9781139151184.023","pdf_url":null,"source":{"id":"https://openalex.org/S4306462995","display_name":"Cambridge University Press eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Handbook on Systemic Risk","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W600933876","display_name":"Handbook on Systemic Risk"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5051801244","display_name":"Jean\u2010Pierre Fouque","orcid":"https://orcid.org/0000-0001-8786-5645","observed_orcids":["https://orcid.org/0000-0001-8786-5645"]},"institutions":[{"id":"https://openalex.org/I154570441","display_name":"University of California, Santa Barbara","ror":"https://ror.org/02t274463","country_code":"US","type":"education","lineage":["https://openalex.org/I154570441"]},{"id":"https://openalex.org/I2803209242","display_name":"University of California System","ror":"https://ror.org/00pjdza24","country_code":"US","type":"education","lineage":["https://openalex.org/I2803209242"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jean-Pierre Fouque","raw_affiliation_strings":["University of California, Santa Barbara","University of California"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of California, Santa Barbara","institution_ids":["https://openalex.org/I154570441"]},{"raw_affiliation_string":"University of California","institution_ids":["https://openalex.org/I2803209242"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5086109092","display_name":"Li\u2010Hsien Sun","orcid":"https://orcid.org/0000-0002-4085-5471","observed_orcids":["https://orcid.org/0000-0002-4085-5471"]},"institutions":[{"id":"https://openalex.org/I2803209242","display_name":"University of California System","ror":"https://ror.org/00pjdza24","country_code":"US","type":"education","lineage":["https://openalex.org/I2803209242"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Li-Hsien Sun","raw_affiliation_strings":["University of California"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of California","institution_ids":["https://openalex.org/I2803209242"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":12.1925,"has_fulltext":false,"cited_by_count":44,"citation_normalized_percentile":{"value":0.98715284,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"444","last_page":"452"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6523000001907349,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6523000001907349,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.3328000009059906,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.002899999963119626,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/systemic-risk","display_name":"systemic risk","score":1.0},{"id":"https://openalex.org/keywords/bank-default","display_name":"bank default","score":0.4189999997615814},{"id":"https://openalex.org/keywords/central-bank-liquidity-provision","display_name":"central bank liquidity provision","score":0.6370000243186951},{"id":"https://openalex.org/keywords/mean-field-games","display_name":"mean field games","score":0.7289999723434448},{"id":"https://openalex.org/keywords/common-noise","display_name":"common noise","score":0.5730000138282776},{"id":"https://openalex.org/keywords/bank-heterogeneity","display_name":"bank heterogeneity","score":0.7480000257492065},{"id":"https://openalex.org/keywords/financial-stability","display_name":"financial stability","score":0.5070000290870667}],"concepts":[{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.6891411542892456},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6059757471084595},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.5739885568618774},{"id":"https://openalex.org/C134697681","wikidata":"https://www.wikidata.org/wiki/Q1609677","display_name":"Clearing","level":2,"score":0.536644697189331},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.5204787254333496},{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.5194913148880005},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.5004336833953857},{"id":"https://openalex.org/C150149615","wikidata":"https://www.wikidata.org/wiki/Q1058762","display_name":"Reserve requirement","level":4,"score":0.4987154006958008},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.4634869396686554},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.4258806109428406},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.3699186146259308},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.33410215377807617},{"id":"https://openalex.org/C2992735868","wikidata":"https://www.wikidata.org/wiki/Q66344","display_name":"Central bank","level":3,"score":0.3290044367313385},{"id":"https://openalex.org/C126285488","wikidata":"https://www.wikidata.org/wiki/Q178476","display_name":"Monetary policy","level":2,"score":0.2544492483139038},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.20339259505271912},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.17306384444236755},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.16794449090957642},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1017/cbo9781139151184.023","doi":"https://doi.org/10.1017/cbo9781139151184.023","is_oa":false,"landing_page_url":"https://doi.org/10.1017/cbo9781139151184.023","pdf_url":null,"source":{"id":"https://openalex.org/S4306462995","display_name":"Cambridge University Press eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Handbook on Systemic Risk","raw_type":"book-chapter"},{"id":"pmh:oai:escholarship.org/ark:/13030/qt1dm040n4","doi":null,"is_oa":false,"landing_page_url":"https://escholarship.org/uc/item/1dm040n4","pdf_url":null,"source":{"id":"https://openalex.org/S4306400115","display_name":"eScholarship (California Digital Library)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I2801248553","host_organization_name":"California Digital Library","host_organization_lineage":["https://openalex.org/I2801248553"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"etd"},{"id":"pmh:qt1dm040n4","doi":null,"is_oa":false,"landing_page_url":"http://www.escholarship.org/uc/item/1dm040n4","pdf_url":null,"source":{"id":"https://openalex.org/S4306400115","display_name":"eScholarship (California Digital Library)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I2801248553","host_organization_name":"California Digital Library","host_organization_lineage":["https://openalex.org/I2801248553"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Sun, Li-Hsien. (2014). Systemic Risk Illustrated. 0035: Statistics and Applied Probability. Retrieved from: http://www.escholarship.org/uc/item/1dm040n4","raw_type":"dissertation"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":4,"referenced_works":["https://openalex.org/W182704713","https://openalex.org/W1580561995","https://openalex.org/W2084538588","https://openalex.org/W4229911014"],"related_works":["https://openalex.org/W2950314578","https://openalex.org/W2557046486","https://openalex.org/W7218218823","https://openalex.org/W3125177885","https://openalex.org/W2522510987","https://openalex.org/W7067694451","https://openalex.org/W2788108372","https://openalex.org/W2285336052","https://openalex.org/W2903780008","https://openalex.org/W2143907103"],"abstract_inverted_index":{"Due":[0],"to":[1,83,137,153,211,277],"the":[2,28,31,56,60,72,85,93,96,103,120,138,148,156,182,196,201,212,222,228,236,260,268,283],"recent":[3],"financial":[4,197],"crisis,":[5],"systemic":[6,217],"risk":[7,68],"is":[8,37,69,178,199],"becoming":[9],"a":[10,19,40,51,76,116,142,165,206,239],"central":[11,139,157,202,261],"research":[12],"topic.":[13],"In":[14,81,112],"this":[15,88,174,279],"study,":[16],"we":[17,91,114,243],"propose":[18],"simple":[20],"model":[21],"of":[22,30,34,42,55,62,75,79,87,95,132,150,230,233,238],"inter-bank":[23,63],"borrowing":[24,64,123,133],"and":[25,65,105,122,195,257],"lending":[26,121,136],"where":[27,125,250],"evolution":[29],"log-monetary":[32],"reserves":[33],"$N$":[35],"banks":[36,234,251,274],"described":[38],"by":[39,71],"system":[41,57,124,213,269,281],"diffusion":[43],"processes":[44],"coupled":[45,89,97,101],"through":[46,102,109],"their":[47],"drifts":[48],"in":[49,119,227,235,275],"such":[50],"way":[52],"that":[53,200,259],"stability":[54],"depends":[58],"on":[59],"rate":[61,131],"lending.":[66],"Systemic":[67],"characterized":[70],"non-negligible":[73],"probability":[74],"large":[77,231],"number":[78,232],"defaults.":[80],"order":[82,276],"study":[84,221],"behavior":[86],"system,":[90],"discuss":[92],"comparison":[94],"diffusions":[98],"not":[99],"only":[100],"drift":[104],"non-drift":[106],"but":[107],"correlated":[108],"Brownian":[110],"motions.":[111],"addition,":[113],"introduce":[115],"game":[117],"feature":[118],"each":[126,151],"bank":[127,140,152,158,203,262,280],"controls":[128],"its":[129,160,216],"own":[130],"from":[134,155],"or":[135,168,270],"under":[141],"quadratic":[143],"cost.":[144],"The":[145,186],"optimization":[146],"reflects":[147],"desire":[149],"borrow":[154],"when":[159],"monetary":[161,184],"reserve":[162],"falls":[163],"below":[164],"critical":[166,175],"level":[167,176],"lend":[169],"if":[170],"it":[171],"rises":[172],"above":[173],"which":[177],"chosen":[179],"here":[180],"as":[181,205],"average":[183],"reserve.":[185],"equilibria":[187],"with":[188],"finitely":[189],"many":[190],"players":[191],"are":[192],"solved":[193],"explicitly":[194],"implication":[198],"acts":[204],"clearing":[207],"house,":[208],"adding":[209],"liquidity":[210],"without":[214],"affecting":[215],"risk.":[218],"We":[219],"also":[220],"corresponding":[223],"Mean":[224],"Field":[225],"Game":[226],"limit":[229],"presence":[237],"common":[240],"noise.":[241],"Finally,":[242],"consider":[244],"two":[245],"inhomogeneous":[246],"unsymmetrical":[247],"grouping":[248],"problems":[249],"have":[252],"strategies":[253],"using":[254,282],"heterogeneous":[255],"parameters":[256],"obtain":[258],"must":[263],"provide":[264],"extra":[265],"cash":[266],"into":[267],"keep":[271],"deposits":[272],"for":[273],"stabilize":[278],"heterogeneity":[284],"framework.":[285]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":13},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":3}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2016-08-23T00:00:00"}
