论文标题
罗杰斯（Veraart）和铃木（Suzuki）的全身风险模型的公理观点
An Axiomatic Viewpoint on the Rogers--Veraart and Suzuki--Elsinger Models of Systemic Risk
论文作者
论文摘要
我们研究具有交叉持有和默认费用的银行间网络中的清算模型。按照艾森伯格（Eisenberg）的方法 - NOE方法，我们通过一组自然财务法规定义模型，包括与最终默认费用相关的法规，并得出有限的FIXPOINT问题家族。这些问题是由二进制变量向量参数化的。我们的模型结合了Ararat-Meimanjanov，Rogers- Veraart和Suzuki-Elsinger Networks的特征。我们开发了使用混合整数线性编程和高斯消除算法计算最大和最小清算对的方法。
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.
