In this paper we introduce a generalized extension of the Eisenberg–Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk. This framework separates the cash account and long-term capital account to more accurately model the health of a financial institution. In doing so, such a system allows us to distinguish between delinquency and default as well as between defaults resulting from either insolvency or illiquidity.

中文翻译：

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金融网络中的动态清算和传染


在本文中，我们介绍了金融传染的 Eisenberg-Noe 模型的广义扩展，以允许银行间负债的时间动态，包括对违约风险的动态检查。该框架将现金账户和长期资本账户分开，以更准确地对金融机构的健康状况进行建模。在此过程中，这样的系统使我们能够区分拖欠和违约，以及因破产或流动性不足而导致的违约。