Systemic risk components in a network model of contagion

Jeremy Staum*, Mingbin Feng, Ming Liu

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

13 Scopus citations

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 languageEnglish (US)
Pages (from-to)501-510
Number of pages10
JournalIIE Transactions (Institute of Industrial Engineers)
Volume48
Issue number6
DOIs
StatePublished - 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

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