Sensitivity analysis of the Eisenberg-Noe model of contagion
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Publication:613363
DOI10.1016/j.orl.2010.07.007zbMath1202.91128OpenAlexW2138645681MaRDI QIDQ613363
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
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An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect ⋮ On some extended mixed integer optimization models of the Eisenberg–Noe model in systemic risk management ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ MCMC design-based non-parametric regression for rare event. application to nested risk computations ⋮ Optimization in curbing risk contagion among financial institutes ⋮ Impact of contingent payments on systemic risk in financial networks ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities ⋮ Equilibria and Systemic Risk in Saturated Networks
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