Systemic risk components in a network model of contagion

Jeremy Staum, Mingbin Feng and Ming Liu

IISE Transactions, 2016, vol. 48, issue 6, 501-510

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.

Date: 2016
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DOI: 10.1080/0740817X.2015.1110650

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