Thu, 18 Oct 2018

13:00 - 14:00
L4

Dynamic clearing and contagion in an Eisenberg-Noe framework

Zachary Feinstein
((Washington University in St. Louis))
Abstract

We will consider an extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics in both discrete and continuous time. Mathematical results on existence and uniqueness of firm wealths under discrete and continuous-time will be provided. The financial implications of time dynamics will be considered, with focus on how the dynamic clearing solutions differ from those of the static Eisenberg-Noe model.
 

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