Related papers: Computing Tarski Fixed Points in Financial Network…
This paper proposes a novel dynamical model for determining clearing payments in financial networks. We extend the classical Eisenberg-Noe model of financial contagion to multiple time periods, allowing financial operations to continue…
We study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg--Noe approach, we define the model via a set of natural financial regulations including those related with eventual default…
Modern financial networks involve complex obligations that transcend simple monetary debts: multiple currencies, prioritized claims, supply chain dependencies, and more. We present a mathematical framework that unifies and extends these…
Financial networks are characterized by complex structures of mutual obligations. These obligations are fulfilled entirely or in part (when defaults occur) via a mechanism called clearing, which determines a set of payments that settle the…
Financial networks model a set of financial institutions (firms) interconnected by obligations. Recent work has introduced to this model a class of obligations called credit default swaps, a certain kind of financial derivatives. The main…
We consider two models of computation for Tarski's order preserving function f related to fixed points in a complete lattice: the oracle function model and the polynomial function model. In both models, we find the first polynomial time…
We study the problem of designing dynamic intervention policies for minimizing networked defaults in financial networks. Formally, we consider a dynamic version of the celebrated Eisenberg-Noe model of financial network liabilities and use…
The concept of clearing or netting, as defined in the glossaries of European Central Bank, has a great impact on the economy of a country influencing the exchanges and the interactions between companies. On short, netting refers to an…
We consider financial networks, where banks are connected by contracts such as debts or credit default swaps. We study the clearing problem in these systems: we want to know which banks end up in a default, and what portion of their…
We consider a large random network, in which the performance of a node depends upon that of its neighbours and some external random influence factors. This results in random vector valued fixed-point (FP) equations in large dimensional…
We study the problem of enumerating Tarski fixed points on finite lattices. We derive query complexity lower bounds for finding three or more Tarski fixed points of isotone maps and the subclasses of increasing and decreasing isotone maps.…
Networked discrete dynamical systems are often used to model the spread of contagions and decision-making by agents in coordination games. Fixed points of such dynamical systems represent configurations to which the system converges. In the…
We study the problem of allocating bailouts (stimulus, subsidy allocations) to people participating in a financial network subject to income shocks. We build on the financial clearing framework of Eisenberg and Noe that allows the…
This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the…
The problem of computing the smallest fixed point of an order-preserving map arises in the study of zero-sum positive stochastic games. It also arises in static analysis of programs by abstract interpretation. In this context, the discount…
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…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
We generalize several schedule matching theorems of Baiou-Balinski (Math. Oper. Res., 27 (2002), 485) and Alkan-Gale (J. Econ. Th. 112 (2003), 289) by applying a fixed point method of Fleiner (Math. Oper. Res., 28 (2003), 103). Thanks to a…
The events of the last few years revealed an acute need for tools to systematically model and analyze large financial networks. Many applications of such tools include the forecasting of systemic failures and analyzing probable effects of…
Over the last few years, neural networks have started penetrating safety critical systems to take decisions in robots, rockets, autonomous driving car, etc. A problem is that these critical systems often have limited computing resources.…