KMS Of Academy of mathematics and systems sciences, CAS
| On some extended mixed integer optimization models of the Eisenberg-Noe model in systemic risk management | |
| Dong, Zhi-Long1; Peng, Jiming2; Xu, Fengmin1; Dai, Yu-Hong3 | |
| 2021-02-03 | |
| Source Publication | INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH
 |
| ISSN | 0969-6016 |
| Pages | 24 |
| Abstract | The Eisenberg and Noe (EN) model has been widely adopted in the systemic risk management for financial networks. In this paper, we propose a unified EN (U-EN) model, which incorporates both liquidation and bankruptcy costs. We show that the U-EN model is polynomial-time solvable and develop an efficient greedy algorithm to solve it. Then we consider identifying the optimal bailout strategy based on stress testing background and propose a binary EN model with bailout budget constraint (B-EN-B). The B-EN-B model is shown to be NP-hard. We present analysis on the parameter selection and design some preprocessing procedures correspondingly. A sequential coefficient strengthening algorithm is designed to solve the B-EN-B model. Global convergence of the algorithm is established. Moreover, we show that the systemic risk level obtained from the B-EN-B model can be used as a precaution for the social planner. Experiments based on both simulated data and data from the Chinese listed banks' network are reported to demonstrate the efficiency of the proposed algorithms. |
| Keyword | financial network systemic risk mixed integer programming coefficient strengthening sequential linear optimization |
| DOI | 10.1111/itor.12939 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[11801433] ; National Natural Science Foundation of China[11571271] ; National Natural Science Foundation of China[11631013] ; National Natural Science Foundation of China[11991021] ; National Natural Science Foundation of China[11991020] ; National Natural Science Foundation of China[11971372] ; NSF[CMMI-1131690] ; NSF[CMMI-1537712] ; NSF[CNS-1637347] ; Beijing Academy of Artificial Intelligence (BAAI) |
| WOS Research Area | Business & Economics ; Operations Research & Management Science |
| WOS Subject | Management ; Operations Research & Management Science |
| WOS ID | WOS:000614255700001 |
| Publisher | WILEY |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/58101 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Peng, Jiming |
| Affiliation | 1.Xi An Jiao Tong Univ, Sch Econ & Finance, Xian 710061, Shaanxi, Peoples R China 2.Univ Houston, Dept Ind Engn, Houston, TX 77204 USA 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| Recommended Citation GB/T 7714 | Dong, Zhi-Long,Peng, Jiming,Xu, Fengmin,et al. On some extended mixed integer optimization models of the Eisenberg-Noe model in systemic risk management[J]. INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH,2021:24. |
| APA | Dong, Zhi-Long,Peng, Jiming,Xu, Fengmin,&Dai, Yu-Hong.(2021).On some extended mixed integer optimization models of the Eisenberg-Noe model in systemic risk management.INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH,24. |
| MLA | Dong, Zhi-Long,et al."On some extended mixed integer optimization models of the Eisenberg-Noe model in systemic risk management".INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH (2021):24. |
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