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Erschienen in: Mathematics and Financial Economics 4/2019

18.02.2019

Impact of contingent payments on systemic risk in financial networks

verfasst von: Tathagata Banerjee, Zachary Feinstein

Erschienen in: Mathematics and Financial Economics | Ausgabe 4/2019

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Abstract

In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg–Noe financial contagion model in which the nominal interbank obligations depend on the wealth of the firms in the network. We first consider the problem in a static framework and develop conditions for existence and uniqueness of solutions as long as no firm is speculating on the failure of other firms. In order to achieve existence and uniqueness under more general conditions, we introduce a dynamic framework. We demonstrate how this dynamic framework can be applied to problems that were ill-defined in the static framework.
Vorheriger Artikel Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
Nächster Artikel Golden options in financial mathematics

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Metadaten
Titel
Impact of contingent payments on systemic risk in financial networks
verfasst von
Tathagata Banerjee
Zachary Feinstein
Publikationsdatum
18.02.2019
Verlag
Springer Berlin Heidelberg
Erschienen in
Mathematics and Financial Economics / Ausgabe 4/2019
Print ISSN: 1862-9679
Elektronische ISSN: 1862-9660
DOI
https://doi.org/10.1007/s11579-019-00239-9

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