金融网络中的动态清算和传染

IF 6 2区管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

European Journal of Operational Research Pub Date : 2024-10-09 DOI:10.1016/j.ejor.2024.09.046

Tathagata Banerjee , Alex Bernstein , Zachary Feinstein

{"title":"金融网络中的动态清算和传染","authors":"Tathagata Banerjee , Alex Bernstein , Zachary Feinstein","doi":"10.1016/j.ejor.2024.09.046","DOIUrl":null,"url":null,"abstract":"<div><div>In this paper we introduce a generalized extension of the Eisenberg–Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk. This framework separates the cash account and long-term capital account to more accurately model the health of a financial institution. In doing so, such a system allows us to distinguish between delinquency and default as well as between defaults resulting from either insolvency or illiquidity.</div></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":"321 2","pages":"Pages 664-675"},"PeriodicalIF":6.0000,"publicationDate":"2024-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Dynamic clearing and contagion in financial networks\",\"authors\":\"Tathagata Banerjee , Alex Bernstein , Zachary Feinstein\",\"doi\":\"10.1016/j.ejor.2024.09.046\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>In this paper we introduce a generalized extension of the Eisenberg–Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk. This framework separates the cash account and long-term capital account to more accurately model the health of a financial institution. In doing so, such a system allows us to distinguish between delinquency and default as well as between defaults resulting from either insolvency or illiquidity.</div></div>\",\"PeriodicalId\":55161,\"journal\":{\"name\":\"European Journal of Operational Research\",\"volume\":\"321 2\",\"pages\":\"Pages 664-675\"},\"PeriodicalIF\":6.0000,\"publicationDate\":\"2024-10-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"European Journal of Operational Research\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0377221724007495\",\"RegionNum\":2,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"OPERATIONS RESEARCH & MANAGEMENT SCIENCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"European Journal of Operational Research","FirstCategoryId":"91","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0377221724007495","RegionNum":2,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}

引用次数: 0

摘要

在本文中，我们引入了艾森伯格-诺伊金融传染模型的广义扩展，以考虑银行间负债的时间动态，包括违约风险的动态检查。这一框架将现金账户和长期资本账户分开，以更准确地模拟金融机构的健康状况。这样，我们就能区分拖欠和违约，以及破产或流动性不足导致的违约。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Dynamic clearing and contagion in financial networks

In this paper we introduce a generalized extension of the Eisenberg–Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk. This framework separates the cash account and long-term capital account to more accurately model the health of a financial institution. In doing so, such a system allows us to distinguish between delinquency and default as well as between defaults resulting from either insolvency or illiquidity.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

European Journal of Operational Research 管理科学-运筹学与管理科学

CiteScore

11.90

自引率

9.40%

发文量

786

审稿时长

8.2 months

期刊介绍： The European Journal of Operational Research (EJOR) publishes high quality, original papers that contribute to the methodology of operational research (OR) and to the practice of decision making.