TY - JOUR
T1 - Dynamic clearing and contagion in financial networks
AU - Banerjee, Tathagata
AU - Bernstein, Alex
AU - Feinstein, Zachary
N1 - Publisher Copyright:
© 2024 Elsevier B.V.
PY - 2025/3/1
Y1 - 2025/3/1
N2 - In this paper we introduce a generalized extension of the Eisenberg–Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk. This framework separates the cash account and long-term capital account to more accurately model the health of a financial institution. In doing so, such a system allows us to distinguish between delinquency and default as well as between defaults resulting from either insolvency or illiquidity.
AB - In this paper we introduce a generalized extension of the Eisenberg–Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk. This framework separates the cash account and long-term capital account to more accurately model the health of a financial institution. In doing so, such a system allows us to distinguish between delinquency and default as well as between defaults resulting from either insolvency or illiquidity.
KW - Dynamic network
KW - Early defaults
KW - Finance
KW - Financial contagion
KW - Systemic risk
UR - http://www.scopus.com/inward/record.url?scp=85206152544&partnerID=8YFLogxK
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U2 - 10.1016/j.ejor.2024.09.046
DO - 10.1016/j.ejor.2024.09.046
M3 - Article
AN - SCOPUS:85206152544
SN - 0377-2217
VL - 321
SP - 664
EP - 675
JO - European Journal of Operational Research
JF - European Journal of Operational Research
IS - 2
ER -