Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities
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Publication:3122068
DOI10.1137/18M1171060zbMath1419.91667arXiv1708.01561OpenAlexW3101821815MaRDI QIDQ3122068
Zachary Feinstein, Weijie Pang, Eric Schaanning, Birgit Rudloff, MacKenzie Wildman, Stephan Sturm
Publication date: 20 March 2019
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.01561
Sensitivity, stability, parametric optimization (90C31) Deterministic network models in operations research (90B10) Actuarial science and mathematical finance (91G99)
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