Systemic risk components in a network model of contagion

Jeremy Staum; Mingbin Feng; Ming Liu

doi:10.1080/0740817X.2015.1110650

Systemic risk components in a network model of contagion

Jeremy Staum^*, Mingbin Feng, Ming Liu

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	501-510
Number of pages	10
Journal	IIE Transactions (Institute of Industrial Engineers)
Volume	48
Issue number	6
DOIs	https://doi.org/10.1080/0740817X.2015.1110650
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

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10.1080/0740817X.2015.1110650

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keywords = "Contagion, Cost allocation, Eisenberg–noe model, Risk allocation, Risk attribution, Risk components, Systemic risk",

author = "Jeremy Staum and Mingbin Feng and Ming Liu",

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AB - 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.

KW - Contagion

KW - Cost allocation

KW - Eisenberg–noe model

KW - Risk allocation

KW - Risk attribution

KW - Risk components

KW - Systemic risk

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Systemic risk components in a network model of contagion

Abstract

Keywords

ASJC Scopus subject areas

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