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...
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Published in | IIE transactions Vol. 48; no. 6; pp. 501 - 510 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
Norcross
Taylor & Francis
02.06.2016
Taylor & Francis Ltd |
Subjects | |
Online Access | Get full text |
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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. |
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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 |