Corpus ID: 158563340

Dynamic Clearing and Contagion in Financial Networks

  title={Dynamic Clearing and Contagion in Financial Networks},
  author={Tathagata Banerjee and Alex Bernstein and Zachary Feinstein},
  journal={arXiv: Mathematical Finance},
In this paper we will consider a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics of the interbank liabilities. Emphasis will be placed on the construction, existence, and uniqueness of the continuous-time framework and its formulation as a differential equation driven by the operating cash flows. Finally, the financial implications of time dynamics will be considered. The focus will be on how the dynamic clearing solutions differ from those of… Expand

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