Sensitivity analysis of the Eisenberg-Noe model of contagion |
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| Authors: | Ming Liu |
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| Affiliation: | Department of Industrial Engineering and Management Sciences, Robert R. McCormick School of Engineering and Applied Science, Northwestern University, Evanston, IL 60208-3119, USA |
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| Abstract: | 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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| Keywords: | Systemic risk Contagion Clearing payment Sensitivity analysis |
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