Sensitivity analysis of the Eisenberg-Noe model of contagion

DOI10.1016/J.ORL.2010.07.007MaRDI QIDQ613363zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

sensitivity analysiscontagionsystemic riskclearing payment

Mathematics Subject Classification ID

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

Recommendations

• Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
• Impact of contingent payments on systemic risk in financial networks
• Mathematical modeling and analysis of insolvency contagion in an interbank network
• Systemic risk in financial systems

Cites work

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

Cited in

(8)

• Pricing of debt and equity in a financial network with comonotonic endowments
• Optimization in curbing risk contagion among financial institutes
• MCMC design-based non-parametric regression for rare event. application to nested risk computations
• On some extended mixed integer optimization models of the Eisenberg–Noe model in systemic risk management
• Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
• Equilibria and systemic risk in saturated networks
• An optimization view of financial systemic risk modeling: network effect and market liquidity effect
• Impact of contingent payments on systemic risk in financial networks

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