An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
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Publication:3178759
DOI10.1287/opre.2016.1497zbMath1352.90091OpenAlexW3121527376MaRDI QIDQ3178759
Xin Liu, David D. W. Yao, Nan Chen
Publication date: 20 December 2016
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/5630c752356a0f88b6749dbbd9dcd90c404cc9e0
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Cites Work
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- Sensitivity analysis of the Eisenberg-Noe model of contagion
- Network models and financial stability
- Uniqueness of equilibrium in a payment system with liquidation costs
- A new status index derived from sociometric analysis
- RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
- FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
- Systemic Risk in Financial Systems
- Theory and Applications of Robust Optimization
- Risk Assessment for Banking Systems
- Contagion in financial networks
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