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.
- Clearing payment
- Sensitivity analysis
- Systemic risk
ASJC Scopus subject areas
- Management Science and Operations Research
- Industrial and Manufacturing Engineering
- Applied Mathematics