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Dynamic Clearing and Contagion in Financial Networks

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arxiv 1801.02091 v7 pith:T4CWLLZQ submitted 2018-01-06 q-fin.MF q-fin.RM

Tathagata Banerjee , Alex Bernstein , Zachary Feinstein This is my paper · ORCID
classification q-fin.MFq-fin.RM
keywords financialaccountcontagiondefaultdynamicmodelaccuratelyallow
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In this paper we introduce a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk. This framework separates the cash account and long-term capital account to more accurately model the health of a financial institution. In doing so, such a system allows us to distinguish between delinquency and default as well as between defaults resulting from either insolvency or illiquidity.

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    SS-GEN splices an explicit radial tail law with a DGM-learned angular law so standard generative models produce asymptotically exact multivariate extremes and rare-event probabilities beyond the data.

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