Contagion! Systemic Risk in Financial Networks by T. R. Hurd

Author:T. R. Hurd
Language: eng
Format: epub
Publisher: Springer International Publishing, Cham

These two formulas lead to

(3.40)

To obtain interesting asymptotic behaviour of the node degree distribution as , the next theorem assumes that scales with N.

Theorem 3.6

In the IRG sequence with cumulative distribution function , assume for all N that

(3.41)

where for some

(3.42)

1.As , the univariate generating function is given by

(3.43)

(3.44)

where U is F distributed.

2.For any fixed integer , the joint degrees converge in distribution to an independent collection of identical random variables.

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