Mathematical modeling and analysis of insolvency contagion in an interbank network

DOI10.1016/J.ORL.2016.09.017MaRDI QIDQ1709963zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Impact of contingent payments on systemic risk in financial networks
• Interbank clearing in financial networks with multiple maturities
• Clearing in Financial Networks
• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
• The dynamics of interbank networks

Cites work

• scientific article; zbMATH DE number 635657 (Why is no real title available?)
• Risk assessment for banking systems
• Systemic risk in financial systems

Cited in

(9)

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

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