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.

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Systemic Risk in Financial Systems: Properties of Equilibria

  • John Stachurski

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.