Informatics and Applications
2023, Volume 17, Issue 1, pp 11-17
AN AXIOMATIC VIEWPOINT ON THE ROGERS-VERAART AND SUZUKI-ELSINGER MODELS OF SYSTEMIC RISK
- Yu. M. Kabanov
- A. P. Sidorenko
Abstract
The authors study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg-Noe approach, the authors define the model via a set of natural financial regulations including those related to eventual default charges and derive a finite family of fixpoint problems. These problems are parameterized by vectors of binary variables. The model combines features of the Ararat-Meimanjanov, Rogers-Veraart, and Suzuki-Elsinger networks. The authors develop methods of computing the maximal and minimal clearing pairs using the mixed integer-linear programming and a Gaussian elimination algorithm.
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[+] About this article
Title
AN AXIOMATIC VIEWPOINT ON THE ROGERS-VERAART AND SUZUKI-ELSINGER MODELS OF SYSTEMIC RISK
Journal
Informatics and Applications
2023, Volume 17, Issue 1, pp 11-17
Cover Date
2023-04-10
DOI
10.14357/19922264230102
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
systemic risks; financial networks; clearing; crossholdings; default charges
Authors
Yu. M. Kabanov  ,  and A. P. Sidorenko
Author Affiliations
M.V. Lomonosov Moscow State University, 1-52 Leninskie Gory, GSP-1, Moscow 119991, Russian Federation
Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
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