An Axiomatic Viewpoint on the Rogers--Veraart and Suzuki--Elsinger Models of Systemic Risk

Yuri Kabanov and Arthur Sidorenko

Papers from arXiv.org

Abstract: We study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg--Noe approach, we define the model via a set of natural financial regulations including those related with eventual default charges and derive a finite family of fixpoint problems. These problems are parameterized by vectors of binary variables. Our model combines features of the Ararat--Meimanjanov, Rogers--Veraart, and Suzuki--Elsinger networks. We develop methods of computing the maximal and minimal clearing pairs using the mixed integer-linear programming and a Gaussian elimination algorithm.

Date: 2022-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2212.13188 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:2212.13188

Access Statistics for this paper

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