Sensitivity analysis of the Eisenberg-Noe model of contagion

We use linear programming to provide a sensitivity analysis of Eisenberg and Noe’s one-period model of contagion via direct bilateral links. We provide a formula for the sensitivities of clearing payments and the terminal wealth of each node to initial wealth of each node.

• Type: Journal
• Year: 2010
• Where: ORL
• Authors: Ming Liu, Jeremy Staum
• Keywords: Direct Bilateral Links, Noe’s One-period Model, ORL 2010, Terminal Wealth