Blar i Arbeidsnotater / Working Papers på emneord "Eisenberg-Noe clearing vector"
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Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities
(Working Papers;13/2017, Working paper, 2017)We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system. The interbank liabilities matrix is a crucial input to the computation of the clearing ...