Computation of systemic risk measures: a mixed-integer programming approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Andreas Löhne & Birgit Rudloff & Firdevs Ulus, 2014. "Primal and dual approximation algorithms for convex vector optimization problems," Journal of Global Optimization, Springer, vol. 60(4), pages 713-736, December.
- Helmut Elsinger, 2009. "Financial Networks, Cross Holdings, and Limited Liability," Working Papers 156, Oesterreichische Nationalbank (Austrian Central Bank).
- Andreas Hamel & Andreas Löhne & Birgit Rudloff, 2014. "Benson type algorithms for linear vector optimization and applications," Journal of Global Optimization, Springer, vol. 59(4), pages 811-836, August.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- L. C. G. Rogers & L. A. M. Veraart, 2013. "Failure and Rescue in an Interbank Network," Management Science, INFORMS, vol. 59(4), pages 882-898, April.
- Rodrigo Cifuentes & Hyun Song Shin & Gianluigi Ferrucci, 2005.
"Liquidity Risk and Contagion,"
Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 556-566, 04/05.
- Rodrigo Cifuentes & Gianluigi Ferrucci & Hyun Song Shin, 2005. "Liquidity risk and contagion," Bank of England working papers 264, Bank of England.
- Larry Eisenberg & Thomas H. Noe, 2001. "Systemic Risk in Financial Systems," Management Science, INFORMS, vol. 47(2), pages 236-249, February.
- Chen Chen & Garud Iyengar & Ciamac C. Moallemi, 2013. "An Axiomatic Approach to Systemic Risk," Management Science, INFORMS, vol. 59(6), pages 1373-1388, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Giuseppe Calafiore & Giulia Fracastoro & Anton Proskurnikov, 2024. "Default Resilience and Worst-Case Effects in Financial Networks," Papers 2403.10631, arXiv.org.
- repec:hal:wpaper:hal-03284655 is not listed on IDEAS
- Lukas Gonon & Thilo Meyer-Brandis & Niklas Weber, 2024. "Computing Systemic Risk Measures with Graph Neural Networks," Papers 2410.07222, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- E. Kromer & L. Overbeck & K. Zilch, 2016. "Systemic risk measures on general measurable spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(2), pages 323-357, October.
- Jana Hlavinova & Birgit Rudloff & Alexander Smirnow, 2023. "Set-valued intrinsic measures of systemic risk," Papers 2311.14588, arXiv.org.
- Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
- Ahn, Dohyun & Kim, Kyoung-Kuk & Kwon, Eunji, 2023. "Multivariate stress scenario selection in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
- Ketelaars, Martijn & Borm, Peter & Herings, P.J.J., 2023.
"Duality in Financial Networks,"
Other publications TiSEM
26750293-9599-4e05-9ae1-8, Tilburg University, School of Economics and Management.
- Ketelaars, Martijn & Borm, Peter & Herings, P.J.J., 2023. "Duality in Financial Networks," Discussion Paper 2023-016, Tilburg University, Center for Economic Research.
- Nicolas Houy & Frédéric Jouneau & François Le Grand, 2020. "Defaulting firms and systemic risks in financial networks: a normative approach," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 503-526, September.
- c{C}au{g}{i}n Ararat & Birgit Rudloff, 2016. "Dual representations for systemic risk measures," Papers 1607.03430, arXiv.org, revised Jul 2019.
- Ghamami, Samim & Glasserman, Paul & Young, Hobart, 2022. "Collateralized networks," LSE Research Online Documents on Economics 107496, London School of Economics and Political Science, LSE Library.
- Shane Barratt & Stephen Boyd, 2020. "Multi-Period Liability Clearing via Convex Optimal Control," Papers 2005.09066, arXiv.org.
- Wissam AlAli & c{C}au{g}{i}n Ararat, 2024. "Systemic values-at-risk and their sample-average approximations," Papers 2408.08511, arXiv.org.
- Péter Csóka & P. Jean-Jacques Herings, 2018.
"Decentralized Clearing in Financial Networks,"
Management Science, INFORMS, vol. 64(10), pages 4681-4699, October.
- Csóka, P. & Herings, P.J.J., 2016. "Decentralized clearing in financial networks," Research Memorandum 005, Maastricht University, Graduate School of Business and Economics (GSBE).
- Peter Csoka & P. Jean-Jacques Herings, 2016. "Decentralized Clearing in Financial Networks," CERS-IE WORKING PAPERS 1603, Institute of Economics, Centre for Economic and Regional Studies.
- Csóka, Péter & Herings, Jean-Jacques P., 2016. "Decentralized Clearing in Financial Networks," Corvinus Economics Working Papers (CEWP) 2016/14, Corvinus University of Budapest.
- Feinstein Zachary & El-Masri Fatena, 2017. "The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks," Statistics & Risk Modeling, De Gruyter, vol. 34(3-4), pages 113-139, September.
- Tathagata Banerjee & Zachary Feinstein, 2018. "Impact of Contingent Payments on Systemic Risk in Financial Networks," Papers 1805.08544, arXiv.org, revised Dec 2018.
- Csoka, Péter & Herings, P. Jean-Jacques, 2016. "Decentralized Clearing in Financial Networks (RM/16/005-revised-)," Research Memorandum 037, Maastricht University, Graduate School of Business and Economics (GSBE).
- Hamed Amini & Zachary Feinstein, 2020. "Optimal Network Compression," Papers 2008.08733, arXiv.org, revised Jul 2022.
- Giuseppe Calafiore & Giulia Fracastoro & Anton V. Proskurnikov, 2021. "Optimal Clearing Payments in a Financial Contagion Model," Papers 2103.10872, arXiv.org, revised Feb 2024.
- Samim Ghamami & Paul Glasserman & H. Peyton Young, 2022. "Collateralized Networks," Management Science, INFORMS, vol. 68(3), pages 2202-2225, March.
- Zachary Feinstein, 2017. "Obligations with Physical Delivery in a Multi-Layered Financial Network," Papers 1702.07936, arXiv.org, revised May 2019.
- Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2015. "A Unified Approach to Systemic Risk Measures via Acceptance Sets," Papers 1503.06354, arXiv.org, revised Apr 2015.
- Christoph Siebenbrunner, 2021. "Quantifying the importance of different contagion channels as sources of systemic risk," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 103-131, January.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2019-03-25 (Computational Economics)
- NEP-RMG-2019-03-25 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1903.08367. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.