Systemic risk components in a network model of contagion

We show how to perform a systemic risk attribution in a network model of contagion with interlocking balance sheets, using the Shapley and Aumann-Shapley values. Along the way, we establish new results on the sensitivity analysis of the Eisenberg-Noe network model of contagion, featuring a Markov ch...

Full description

Saved in:
Bibliographic Details
Published inIIE transactions Vol. 48; no. 6; pp. 501 - 510
Main Authors Staum, Jeremy, Feng, Mingbin, Liu, Ming
Format Journal Article
LanguageEnglish
Published Norcross Taylor & Francis 02.06.2016
Taylor & Francis Ltd
Subjects
contagion
cost allocation
Design analysis
Design engineering
Eisenberg-Noe model
Game theory
Locking
Markov analysis
Markov chains
Networks
Risk
risk allocation
Risk assessment
risk attribution
risk components
Sensitivity analysis
Studies
Systemic risk
Online AccessGet full text

Cover

More Information
Summary:We show how to perform a systemic risk attribution in a network model of contagion with interlocking balance sheets, using the Shapley and Aumann-Shapley values. Along the way, we establish new results on the sensitivity analysis of the Eisenberg-Noe network model of contagion, featuring a Markov chain interpretation. We illustrate the design process for systemic risk attribution methods by developing several examples.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:0740-817X
2472-5854
1545-8830
2472-5862
DOI:10.1080/0740817X.2015.1110650