Related papers: Banking risk as an epidemiological model: an optim…
The global crisis of 2008 provoked a heightened interest among scientists to study the phenomenon, its propagation and negative consequences. The process of modelling the spread of a virus is commonly used in epidemiology. Conceptually, the…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using…
In this paper, we explore the solvability and the optimal control problem for a compartmental model based on reaction-diffusion partial differential equations describing a transmissible disease. The nonlinear model takes into account the…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
In this paper, we investigate the credit risk in the loan portfolio of banks following different business models. We develop a data-driven methodology for identifying the business models of the 365 largest European banks that is suitable…
The main aim to build models capable of simulating the spreading of infectious diseases is to control them. And along this way, the key to find the optimal strategy for disease control is to obtain a large number of simulations of disease…
Understanding how to effectively control an epidemic spreading on a network is a problem of paramount importance for the scientific community. The ongoing COVID-19 pandemic has highlighted the need for policies that mitigate the spread,…
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
This paper is concerned with the well-posedness and optimal control problem of a reaction-diffusion system for an epidemic Susceptible-Infected-Recovered-Susceptible (SIRS) mathematical model in which the dynamics develops in a spatially…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
Mathematical modelling can help to explain the nature and dynamics of infection transmissions, as well as support a policy for implementing those strategies that are most likely to bring public health and economic benefits. The paper…
The spread of COVID-19 has been thwarted in most countries through non-pharmaceutical interventions. In particular, the most effective measures in this direction have been the stay-at-home and closure strategies of businesses and schools.…
In this paper, we consider an optimal distributed control problem for a reaction-diffusion-based SIR epidemic model with human behavioral effects. We develop a model wherein non-pharmaceutical intervention methods are implemented, but a…
We present and compare two different optimal control approaches applied to SEIR models in epidemiology, which allow us to obtain some policies for controlling the spread of an epidemic. The first approach uses Dynamic Programming to…
We propose and study a compartmental model for epidemiology with human behavioral effects. Specifically, our model incorporates governmental prevention measures aimed at lowering the disease infection rate, but we split the population into…
During the ongoing COVID-19 pandemic, mathematical models of epidemic spreading have emerged as powerful tools to produce valuable predictions of the evolution of the pandemic, helping public health authorities decide which intervention…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
We review the optimal control of systems modeling the dynamics of tuberculosis. Time dependent control functions are introduced in the mathematical models, representing strategies for the improvement of the treatment and cure of active…