Systemic Risk in Financial Systems: Properties of Equilibria
Mathematical Finance
2022-02-24 v1 Risk Management
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.
Cite
@article{arxiv.2202.11183,
title = {Systemic Risk in Financial Systems: Properties of Equilibria},
author = {John Stachurski},
journal= {arXiv preprint arXiv:2202.11183},
year = {2022}
}