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cs.CC2023
Clearing Financial Networks with Derivatives: From Intractability to Algorithms
Stavros D. Ioannidis, Bart de Keijzer, Carmine Ventre
Financial networks raise a significant computational challenge in identifying insolvent firms and evaluating their exposure to systemic risk. This task, known as the clearing probl…
cs.CC2021
Strong Approximations and Irrationality in Financial Networks with Financial Derivatives
Stavros D. Ioannidis, Bart de Keijzer, Carmine Ventre
Financial networks model a set of financial institutions (firms) interconnected by obligations. Recent work has introduced to this model a class of obligations called credit defaul…