An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect

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

zbMATH Keywords

contagionfinancial networkmarket liquiditysystemic risk

Mathematics Subject Classification ID

Related Items (25)

Contingent Convertible Obligations and Financial Stability ⋮ Preface to the Special Issue on Systemic Risk: Models and Mechanisms ⋮ The impact of CoCo bonds on systemic risk considering liquidity risk ⋮ Market Efficient Portfolios in a Systemic Economy ⋮ The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks ⋮ How is systemic risk amplified by three typical financial networks ⋮ On some extended mixed integer optimization models of the Eisenberg–Noe model in systemic risk management ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Multivariate stress scenario selection in interbank networks ⋮ Optimal network compression ⋮ Clustering heterogeneous financial networks ⋮ Financial contagion and asset liquidation strategies ⋮ A repo model of fire sales with VWAP and LOB pricing mechanisms ⋮ Price mediated contagion through capital ratio requirements with VWAP liquidation prices ⋮ Strategic fire-sales and price-mediated contagion in the banking system ⋮ Optimization of Fire Sales and Borrowing in Systemic Risk ⋮ Optimization in curbing risk contagion among financial institutes ⋮ Optimal intervention under stress scenarios: a case of the Korean financial system ⋮ The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks ⋮ Obligations with Physical Delivery in a Multilayered Financial Network ⋮ Impact of contingent payments on systemic risk in financial networks ⋮ Capital regulation under price impacts and dynamic financial contagion ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities ⋮ Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue ⋮ Suffocating Fire Sales

Cites Work

• Unnamed Item
• 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

This page was built for publication: An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect