  Since the latest financial crisis, the idea of systemic risk has received
considerable interest. In particular, contagion effects arising from
cross-holdings between interconnected financial firms have been studied
extensively. Drawing inspiration from the field of complex networks, these
attempts are largely unaware of models and theories for credit risk of
individual firms. Here, we note that recent network valuation models extend the
seminal structural risk model of Merton (1974). Furthermore, we formally
compute sensitivities to various risk factors -- commonly known as Greeks -- in
a network context. In particular, we propose the network $\Delta$ as a
quantitative measure of systemic risk and illustrate our findings on some
numerical examples.
