CLEARING IN FINANCIAL NETWORKS

被引：4

作者：

Kabanov, Yu M. ^{[1
]}

Mokbel, R. ^{[2
]}

El Bitar, Kh ^{[2
]}

机构：

[1] Russian Acad Sci, Steklov Math Inst, Moscow, Russia

[2] Univ Franche Comte, Lab Math, Besancon, France

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2018年 / 62卷 / 02期

基金：

俄罗斯科学基金会;

关键词：

systemic risk; financial networks; clearing; Knaster-Tarski theorem; SYSTEMIC RISK; CONTAGION;

D O I：

10.1137/S0040585X97T988599

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper is a survey of recent results on the clearing in financial systems. Mathematically, the principal questions of the reviewed studies are on the existence and uniqueness of solutions of specific nonlinear equations x = f(x), where f: R-d \ar=r\ R-d is a mapping defined via stochastic and substochastic matrices. Some algorithms of calculations of fixed points are discussed.

引用

页码：252 / 277

页数：26

共 17 条

[1] Systemic Risk and Stability in Financial Networks [J].