Mathematical modeling and analysis of insolvency contagion in an interbank network

DOI10.1016/J.ORL.2016.09.017zbMATH Open1408.91229OpenAlexW2530888755MaRDI QIDQ1709963FDOQ1709963

Authors: Xuemin Ren, Lishang Jiang 

Publication date: 15 January 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2016.09.017

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zbMATH Keywords

contagionsystemic riskdouble obstacle probleminterbank networkclearing payment vector

Mathematics Subject Classification ID

Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
• Systemic risk in financial systems
• Risk assessment for banking systems

Cited In (9)

• Optimal clearing payments in a financial contagion model
• Uniqueness of equilibrium in a payment system with liquidation costs
• The dynamics of interbank networks
• An equilibrium model of interbank networks based on variational inequalities
• Interbank clearing in financial networks with multiple maturities
• Equilibria and systemic risk in saturated networks
• Modeling and mathematical analysis of liquidity risk contagion in the banking system
• Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
• Sensitivity analysis of the Eisenberg-Noe model of contagion

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