Sensitivity analysis of the Eisenberg-Noe model of contagion
نویسندگان
چکیده
We use linear programming to provide a sensitivity analysis of Eisenberg and Noe’s one-period model of contagion via direct bilateral links. We provide a formula for the sensitivities of clearing payments and the terminal wealth of each node to initial wealth of each node.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 38 شماره
صفحات -
تاریخ انتشار 2010