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Systemic Risk in Financial Systems: Properties of Equilibria

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  • John Stachurski

Abstract

Eisenberg and Noe (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 is satisfies a regularity condition involving risk orbits. We show that this condition is not needed: a unique solution always exists.

Suggested Citation

  • John Stachurski, 2022. "Systemic Risk in Financial Systems: Properties of Equilibria," Papers 2202.11183, arXiv.org.
    • Handle: RePEc:arx:papers:2202.11183
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    File URL: http://arxiv.org/pdf/2202.11183
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    References listed on IDEAS

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    1. 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.
    2. Larry Eisenberg & Thomas H. Noe, 2001. "Systemic Risk in Financial Systems," Management Science, INFORMS, vol. 47(2), pages 236-249, February.
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    Cited by:

    1. Chien-Hsiang Yeh, 2022. "Uniqueness of Equilibria in Interactive Networks," Papers 2206.00158, arXiv.org.
    2. Thomas J. Sargent & John Stachurski, 2022. "Economic Networks: Theory and Computation," Papers 2203.11972, arXiv.org, revised Jul 2022.

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