Sensitivity analysis of the Eisenberg-Noe model of contagion

DOI10.1016/J.ORL.2010.07.007zbMATH Open1202.91128OpenAlexW2138645681MaRDI QIDQ613363FDOQ613363

Authors: Sumit K. Garg 

Publication date: 20 December 2010

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

Full work available at URL: https://doi.org/10.1016/j.orl.2010.07.007

Recommendations

• Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
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• Systemic risk in financial systems

zbMATH Keywords

sensitivity analysiscontagionsystemic riskclearing payment

Mathematics Subject Classification ID

Linear programming (90C05) Actuarial science and mathematical finance (91G99)

Cites Work

• Systemic risk in financial systems
• Computing true shadow prices in linear programming

Cited In (8)

• On some extended mixed integer optimization models of the Eisenberg–Noe model in systemic risk management
• Equilibria and Systemic Risk in Saturated Networks
• Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments
• Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities
• Impact of contingent payments on systemic risk in financial networks
• An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
• Optimization in curbing risk contagion among financial institutes
• MCMC design-based non-parametric regression for rare event. application to nested risk computations

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