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An Axiomatic Viewpoint on the Rogers--Veraart and Suzuki--Elsinger Models of Systemic Risk

Yuri KabanovArthur Sidorenko
Dec 2022
摘要
We study a model of clearing in an interbank network with crossholdings anddefault charges. Following the Eisenberg--Noe approach, we define the model viaa set of natural financial regulations including those related with eventualdefault charges and derive a finite family of fixpoint problems. These problemsare parameterized by vectors of binary variables. Our model combines featuresof the Ararat--Meimanjanov, Rogers--Veraart, and Suzuki--Elsinger networks. Wedevelop methods of computing the maximal and minimal clearing pairs using themixed integer-linear programming and a Gaussian elimination algorithm.
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