Vol.5 No.1 (January 2015)
Systemic Risk in Financial Systems in Consideration of Bankruptcy Liquidation Expenses
Systemic risk of a financial system arises from cascading defaults due to liability linkages among institutions. The main work in the paper builds on the modeling paradigm of Eisenberg and Noe (2001), extending it by introducing bankruptcy liquidation expenses. Comparing with the classical model, we discuss the existence and uniqueness of clearing payment vector under the extended model. In classical model, the whole financial system net worth has no loss throughout the clearing process. While, in the extended model proposed by the paper, there must be certain loss once some firm is insolvent and the loss is correlated to the magnitude of cascading defaults.
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