Before revision:  We associate nonconvex vector optimization problems to these systemic risk measures and solve them by a recent nonconvex variant of Benson's algorithm which requires solving two types of scalar optimization problems. We provide a detailed analysis of the theoretical features of these problems for the extended Eisenberg-Noe and Rogers-Veraart models.
After revision:  We associate nonconvex vector optimization problems to these systemic risk measures and provide theoretical results related to the weighted-sum and minimum step-length scalarizations of these problems for the extended Eisenberg-Noe and Rogers-Veraart models.