Systemic risk components in a network model of contagion

被引：14
|
作者：
Staum, Jeremy [1 ]
Feng, Mingbin [1 ]
Liu, Ming [2 ]
机构：
[1] Northwestern Univ, McCormick Sch Engn, Dept IEMS, Evanston, IL USA
[2] Magnetar Capital LLC, Evanston, IL USA
来源：
IIE TRANSACTIONS | 2016年 / 48卷 / 06期
关键词：
Systemic risk; contagion; Eisenberg-Noe model; risk components; risk attribution; risk allocation; cost allocation; ALLOCATION;
D O I：
10.1080/0740817X.2015.1110650
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
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.
引用
收藏
页码：501 / 510
页数：10
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