Systemic Risk in Financial Systems: Properties of Equilibria
摘要
Eisenberg and Noe (Manag Sci 47:236–249, 2001) analyze systemic risk for financial institutions linked by a network of liabilities. They show that the solution to their model is unique when the financial system satisfies a regularity condition involving risk orbits. We show that this condition is not needed: under a mild convention use to handle edge cases, a unique solution always exists.