Sensitivity analysis of the EisenbergNoe model of contagion

Ming Liu, Jeremy Staum*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

14 Scopus citations

Abstract

We use linear programming to provide a sensitivity analysis of Eisenberg and Noe's one-period model of contagion via direct bilateral links. We provide a formula for the sensitivities of clearing payments and the terminal wealth of each node to initial wealth of each node.

Original languageEnglish (US)
Pages (from-to)489-491
Number of pages3
JournalOperations Research Letters
Volume38
Issue number5
DOIs
StatePublished - Sep 2010

Keywords

  • Clearing payment
  • Contagion
  • Sensitivity analysis
  • Systemic risk

ASJC Scopus subject areas

  • Software
  • Management Science and Operations Research
  • Industrial and Manufacturing Engineering
  • Applied Mathematics

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