Section: New Results
Participants : Agnès Sulem, Andreea Minca [Cornell University] , Rui Chen.
We have studied optimal connectivity of a large financial network in presence of growth and contagion . We obtained asymptotic results for the magnitude of default contagion in a large financial system with intrinsic recovery features in the framework of a random network. We have moreover added a game component to the model, allowing institutions to choose their optimal linkages in order to maximize their final profits, given their initial states and estimated survival probabilities.