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An axiomatic viewpoint on the Rogers–Veraart and Suzuki–Elsinger models of systemic risk
Yu. M. Kabanovab, A. P. Sidorenkoa a M. V. Lomonosov Moscow State University, 1-52 Leninskie Gory, GSP-1, Moscow 119991, Russian Federation
b Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333,
Russian Federation
Abstract:
The authors study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg–Noe approach, the authors define the model via a set of natural financial regulations including those related to eventual default charges and derive a finite family of fixpoint problems. These problems are parameterized by vectors of binary variables. The model combines features of the Ararat–Meimanjanov, Rogers–Veraart, and Suzuki–Elsinger networks. The authors develop methods of computing the maximal and minimal clearing pairs using the mixed integer-linear programming and a Gaussian elimination algorithm.
Keywords:
systemic risks, financial networks, clearing, crossholdings, default charges.
Received: 01.08.2022
Citation:
Yu. M. Kabanov, A. P. Sidorenko, “An axiomatic viewpoint on the Rogers–Veraart and Suzuki–Elsinger models of systemic risk”, Inform. Primen., 17:1 (2023), 11–17
Linking options:
https://www.mathnet.ru/eng/ia824 https://www.mathnet.ru/eng/ia/v17/i1/p11
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Abstract page: | 92 | Full-text PDF : | 39 | References: | 9 |
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