Control of Dynamic Financial Networks

نویسندگان

چکیده

The current global financial system forms a highly interconnected network where default in one of its nodes can propagate to many other nodes, causing catastrophic avalanche effect. In this paper we consider the problem reducing contagion by introducing some targeted interventions that mitigate cascaded failure effects. We multi-step dynamic model clearing payments and introduce an external control term represents corrective cash injections made ruling authority. proposed be cast efficiently solved as linear program. show via numerical examples approach significantly reduce propagation applying small injections.

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ژورنال

عنوان ژورنال: IEEE Control Systems Letters

سال: 2022

ISSN: ['2475-1456']

DOI: https://doi.org/10.1109/lcsys.2022.3182847