Nematrian Reference Library
[this page | back links]
Set out below is information (held by the Nematrian website) on the reference you have selected
Reference | Title | Link |
Liu, M. and Staum, J. (2012) | Systemic Risk Components in a Network Model of Contagion | here |
Abstract
"We show how to do systemic risk attribution in a network model of contagion with interlocking balance sheets, using the Shapley and Aumann-Shapley values. As a preliminary, we extend portfolio risk attribution to risk attribution for a single firm with a balance sheet. Along the way, we establish new results on sensitivity analysis of the Eisenberg-Noe network model of contagion, featuring a Markov-chain interpretation. We illustrate the design process for systemic risk attribution methods by developing several of them." |
Additional Nematrian Commentary
This paper expands traditional risk management attribution approaches to cover systemic risk, referring to the Shapley and Aumann-Shapley values when doing so. |
See
here to choose a new Category/Sub-Category or
here for a list of all references held by the Nematrian website. Please
contact us if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.