EconPapers    
Economics at your fingertips  
 

Dynamic Clearing and Contagion in Financial Networks

Tathagata Banerjee, Alex Bernstein and Zachary Feinstein

Papers from arXiv.org

Abstract: In this paper we will consider a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics in both discrete and continuous time. Derivation and interpretation of the financial implications will be provided. Emphasis will be placed on the continuous-time framework and its formulation as a differential equation driven by the operating cash flows. Mathematical results on existence and uniqueness of firm wealths under the discrete and continuous-time models will be provided. Finally, the financial implications of time dynamics will be considered. The focus will be on how the dynamic clearing solutions differ from those of the static Eisenberg-Noe model.

Date: 2018-01, Revised 2018-05
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1801.02091 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1801.02091

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2018-07-14
Handle: RePEc:arx:papers:1801.02091