Computation of systemic risk measures: a mixed-integer programming approach
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- Giuseppe Calafiore & Giulia Fracastoro & Anton Proskurnikov, 2024. "Default Resilience and Worst-Case Effects in Financial Networks," Papers 2403.10631, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-CMP-2019-03-25 (Computational Economics)
- NEP-RMG-2019-03-25 (Risk Management)
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