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IIE Transactions Volume 48, 2016 - Issue 6: Operations Engineering & Analytics
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Original Articles

Systemic risk components in a network model of contagion

Jeremy StaumDepartment of IEMS, McCormick School of Engineering, Northwestern University,Evanston, IL, USACorrespondence[email protected]
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,
Mingbin FengDepartment of IEMS, McCormick School of Engineering, Northwestern University,Evanston, IL, USAView further author information
&
Ming LiuMagnetar Capital, LLC,Evanston, IL, USAView further author information
Pages 501-510 | Received 13 Apr 2014, Accepted 23 Sep 2015, Published online: 16 Mar 2016

Citations (12)

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Salman Kimiagari & Samira Keivanpour. (2019) An interactive risk visualisation tool for large-scale and complex engineering and construction projects under uncertainty and interdependence. International Journal of Production Research 57:21, pages 6827-6855.
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Articles from other publishers (11)

Ha Nguyen & Xian Zhou. (2022) Reduced-form models of correlated default timing: a systematic literature review. Journal of Accounting Literature 45:1, pages 190-205.
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Yun Feng & Xin Li. (2021) Does cross-shareholding lead to China's stock returns comovement? Evidence from a GMM-based spatial AR model. Empirical Economics 61:6, pages 3213-3237.
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Zhijing Ding & Xu Zhang. (2021) The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD-Based Network Topology Approach. Complexity 2021, pages 1-17.
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Henry Schenck, Richard Sowers & Rui Song. (2021) Trading networks and Hodge theory ∗ . Journal of Physics Communications 5:1, pages 015018.
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Shanshan Jiang & Hong Fan. (2018) Credit risk contagion coupling with sentiment contagion. Physica A: Statistical Mechanics and its Applications 512, pages 186-202.
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Xiang-Shen Ye, Ruo-Bing Xue, Jianjun Gao & Xi-Ren Cao. (2018) Optimization in curbing risk contagion among financial institutes. Automatica 94, pages 214-220.
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Shanshan Jiang, Hong Fan & Min Xia. (2018) Credit Risk Contagion Based on Asymmetric Information Association. Complexity 2018, pages 1-11.
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Xiang-Shen Ye, Ruo-Bing Xue, Jian-Jun Gao & Xi-Ren Cao. (2017) An Iterative Approach to Reduce Systemic Risk among Financial Institutes * *This research was supported in part by National Natural Science Foundation of China under the grant 61221003, and the Collaborative Research Fund of the Research Grants Council, Hong Kong Special Administrative Region, China, under Grant No. HKUST11/CRF/10. IFAC-PapersOnLine 50:1, pages 9380-9385.
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Nan Chen, Xin Liu & David D. Yao. (2016) An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect. Operations Research 64:5, pages 1089-1108.
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Paul GlassermanH. Peyton Young. (2016) Contagion in Financial Networks. Journal of Economic Literature 54:3, pages 779-831.
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Fei Wu, Dayong Zhang & Zhiwei Zhang. (2018) Systemic Risks and Spillovers in the Stock Market of China: A Sectoral Analysis. SSRN Electronic Journal.
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