罗杰斯-维拉特和铃木-埃尔辛格系统风险模型的公理化观点

IF 0.2 4区计算机科学 Q4 COMPUTER SCIENCE, THEORY & METHODS Rairo-Theoretical Informatics and Applications Pub Date : 2022-12-26 DOI:10.14357/19922264230102

Y. Kabanov, A. Sidorenko

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引用次数: 0

摘要

我们研究了一个具有交叉持股和违约费用的银行间网络清算模型。根据Eisenberg- Noe方法，我们通过一组自然金融规则(包括与最终违约费用相关的规则)定义了模型，并推导出有限族的不动点问题。这些问题是由二元变量的向量参数化的。我们的模型结合了Ararat- Meimanjanov, Rogers- Veraart和Suzuki- Elsinger网络的特征。利用混合整数-线性规划和高斯消去算法，提出了计算最大和最小清除对的方法。

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AN AXIOMATIC VIEWPOINT ON THE ROGERS-VERAART AND SUZUKI-ELSINGER MODELS OF SYSTEMIC RISK

We study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg--Noe approach, we define the model via a set of natural financial regulations including those related with eventual default charges and derive a finite family of fixpoint problems. These problems are parameterized by vectors of binary variables. Our model combines features of the Ararat--Meimanjanov, Rogers--Veraart, and Suzuki--Elsinger networks. We develop methods of computing the maximal and minimal clearing pairs using the mixed integer-linear programming and a Gaussian elimination algorithm.

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来源期刊

Rairo-Theoretical Informatics and Applications 工程技术-计算机：信息系统

CiteScore

0.80

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The journal publishes original research papers of high scientific level in the area of theoretical computer science and its applications. Theoretical computer science is understood in its broadest sense and comprises in particular the following areas: automata and formal languages, game theory, rewriting systems, design and analysis of algorithms, complexity theory, quantum computation, concurrent, distributed, parallel computations, verification of programs, “logic” and compilers, computational geometry and graphics on computers, cryptography, combinatorics on words. This list is not supposed to be exhaustive and the editorial board will promote new fields of research that will be worked out in the future.