Liability Concentration and Systemic Losses in Financial Networks

DOI10.1287/opre.2015.1402zbMath1378.91133OpenAlexW3125538694MaRDI QIDQ3178761

David D. W. Yao, Agostino Capponi, Peng-Chu Chen

Publication date: 20 December 2016

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

Full work available at URL: https://semanticscholar.org/paper/cfedacbb959eee79716c2ca68cae11368fd59710

zbMATH Keywords

majorizationsystemic riskfinancial contagionfinancial networksliability concentration

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Credit risk (91G40) Actuarial science and mathematical finance (91G99)

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Cites Work

• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• Systemic risk mitigation in financial networks
• RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems
• Contagion in financial networks

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