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Much research in systemic risk is focused on default contagion. While thisdemands an understanding of valuation, fewer articles specifically deal withthe existence, the uniqueness, and the computation of equilibrium prices instructural models of interconnected financial systems. However, beyondcontagion research, these topics are also essential for risk-neutral pricing.In this article, we therefore study and compare valuation algorithms in thestandard model of debt and equity cross-ownership which has crystallized in thework of several authors over the past one and a half decades. Since knownalgorithms have potentially infinite runtime, we develop a class of newalgorithms, which find exact solutions in finitely many calculation steps. Asimulation study for a range of financial system designs allows us to deriveconclusions about the efficiency of different numerical methods under differentsystem parameters.

Valuation Algorithms for Structural Models of Financial Interconnectedness