Sensitivity analysis of the EisenbergNoe model of contagion

Ming Liu; Jeremy Staum

doi:10.1016/j.orl.2010.07.007

Sensitivity analysis of the EisenbergNoe model of contagion

Ming Liu, Jeremy Staum^*

^*Corresponding author for this work

Industrial Engineering and Management Sciences

Research output: Contribution to journal › Article › peer-review

18 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 language	English (US)
Pages (from-to)	489-491
Number of pages	3
Journal	Operations Research Letters
Volume	38
Issue number	5
DOIs	https://doi.org/10.1016/j.orl.2010.07.007
State	Published - 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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10.1016/j.orl.2010.07.007

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title = "Sensitivity analysis of the EisenbergNoe model of contagion",

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.",

keywords = "Clearing payment, Contagion, Sensitivity analysis, Systemic risk",

author = "Ming Liu and Jeremy Staum",

note = "Funding Information: The authors thank an anonymous referee for comments that helped to improve the presentation of this article. The second author gratefully acknowledges the support of an IBM faculty award.",

year = "2010",

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AU - Liu, Ming

AU - Staum, Jeremy

N1 - Funding Information: The authors thank an anonymous referee for comments that helped to improve the presentation of this article. The second author gratefully acknowledges the support of an IBM faculty award.

PY - 2010/9

Y1 - 2010/9

N2 - 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.

AB - 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.

KW - Clearing payment

KW - Contagion

KW - Sensitivity analysis

KW - Systemic risk

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M3 - Article

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SP - 489

EP - 491

JO - Operations Research Letters

JF - Operations Research Letters

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Sensitivity analysis of the EisenbergNoe model of contagion

Abstract

Keywords

ASJC Scopus subject areas

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