Mathematical modeling and analysis of insolvency contagion in an interbank network

DOI10.1016/J.ORL.2016.09.017zbMath1408.91229OpenAlexW2530888755MaRDI QIDQ1709963

Xuemin Ren, Li-Shang Jiang

Publication date: 15 January 2019

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

Full work available at URL: https://doi.org/10.1016/j.orl.2016.09.017

zbMATH Keywords

contagionsystemic riskdouble obstacle probleminterbank networkclearing payment vector

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items (1)

Equilibria and Systemic Risk in Saturated Networks

Cites Work

• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems
• Unnamed Item

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