On some extended mixed integer optimization models of the Eisenberg-Noe model in systemic risk management

doi:10.1111/itor.12939

CSpace

	On some extended mixed integer optimization models of the Eisenberg-Noe model in systemic risk management
	Dong, Zhi-Long 1; Peng, Jiming 2; Xu, Fengmin 1; Dai, Yu-Hong 3
	2021-02-03
发表期刊	INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH
ISSN	0969-6016
页码	24
摘要	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.
关键词	financial network systemic risk mixed integer programming coefficient strengthening sequential linear optimization
DOI	10.1111/itor.12939
收录类别	SCI
语种	英语
资助项目	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研究方向	Business & Economics ; Operations Research & Management Science
WOS类目	Management ; Operations Research & Management Science
WOS记录号	WOS:000614255700001
出版者	WILEY
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/58101
专题	中国科学院数学与系统科学研究院
通讯作者	Peng, Jiming
作者单位	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
推荐引用方式 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.