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Systemic risk components in a network model of contagion

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  • Jeremy Staum
  • Mingbin Feng
  • Ming Liu

Abstract

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.

Suggested Citation

  • Jeremy Staum & Mingbin Feng & Ming Liu, 2016. "Systemic risk components in a network model of contagion," IISE Transactions, Taylor & Francis Journals, vol. 48(6), pages 501-510, June.
    • Handle: RePEc:taf:uiiexx:v:48:y:2016:i:6:p:501-510
    DOI: 10.1080/0740817X.2015.1110650
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    Cited by:

    1. Arcagni, Alberto & Grassi, Rosanna & Stefani, Silvana & Torriero, Anna, 2017. "Higher order assortativity in complex networks," European Journal of Operational Research, Elsevier, vol. 262(2), pages 708-719.
    2. Chien-Hsiang Yeh, 2022. "Uniqueness of Equilibria in Interactive Networks," Papers 2206.00158, arXiv.org.
    3. Yun Feng & Xin Li, 2021. "Does cross-shareholding lead to China's stock returns comovement? Evidence from a GMM-based spatial AR model," Empirical Economics, Springer, vol. 61(6), pages 3213-3237, December.
    4. Jiang, Shanshan & Fan, Hong, 2018. "Credit risk contagion coupling with sentiment contagion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 186-202.
    5. Thi Thuy Van Vu & Dang Kham Tran, 2019. "Systemic Risk in Vietnam Stock Market," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(3), pages 339-352, March.
    6. Nan Chen & Xin Liu & David D. Yao, 2016. "An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect," Operations Research, INFORMS, vol. 64(5), pages 1089-1108, October.
    7. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.

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