Andersen’s quadratic-exponential scheme is used for simulations of rough volatility models
Fire sales turn a crash into a crisis, simulation shows
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default
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Andersen’s quadratic-exponential scheme is used for simulations of rough volatility models
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default