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.
Original language | English (US) |
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Pages (from-to) | 501-510 |
Number of pages | 10 |
Journal | IIE Transactions (Institute of Industrial Engineers) |
Volume | 48 |
Issue number | 6 |
DOIs | |
State | Published - Jun 2 2016 |
Keywords
- Contagion
- Cost allocation
- Eisenberg–noe model
- Risk allocation
- Risk attribution
- Risk components
- Systemic risk
ASJC Scopus subject areas
- Industrial and Manufacturing Engineering