期刊
IIE TRANSACTIONS
卷 48, 期 6, 页码 501-510出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/0740817X.2015.1110650
关键词
Systemic risk; contagion; Eisenberg-Noe model; risk components; risk attribution; risk allocation; cost allocation
资金
- FDIC Center for Financial Research
- IBM Faculty Award
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据