英文标题：
《Dynamic Clearing and Contagion in Financial Networks》
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作者：
Tathagata Banerjee, Alex Bernstein, Zachary Feinstein
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最新提交年份：
2021
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英文摘要：
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. Such a system allows us to distinguish between defaults resulting from either insolvency or illiquidity, and to analyze the resulting effects on the rest of the network. As a special case, we are also able to recover the solution to the Eisenberg-Noe system under certain model choices within the dynamic framework.
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中文摘要：
在本文中，我们引入了金融传染艾森伯格-诺伊模型的广义扩展，以考虑银行间负债的时间动态，包括违约风险的动态检查。这样的系统使我们能够区分破产或流动性不足导致的违约，并分析对网络其他部分的影响。作为特例，我们还能够在动态框架内的某些模型选择下恢复Eisenberg-Noe系统的解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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