Related papers: Banking risk as an epidemiological model: an optim…
This article explores mathematical models for understanding the evolution of contagious diseases. The most widely known set of models are the compartmental ones, which are based on a set of differential equations. But these are not the only…
This paper presents a discrete time probabilistic dynamic for simulating a contact-based epidemic spreading based on discrete time Markov chain process, in particular the attention is addressed to the susceptible-infectious-removed (SIR)…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches to quantifying contagion have been proposed, many of them…
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
We propose a dynamical model for describing the spread of epidemics. This model is an extension of the SIQR (susceptible-infected-quarantined-recovered) and SIRP (susceptible-infected-recovered-pathogen) models used earlier to describe…
In this paper, we study an optimal control problem of a communicable disease in a prison population. In order to control the spread of the disease inside a prison, we consider an active case-finding strategy, consisting on screening a…
We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting than most current literature. We…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
In this paper, an SIR epidemic model with variable size of population is considered. We study optimal control problem for an SIR model with "vaccination" and "treatment" as controls. It is shown that an optimal control exists. We have…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
This paper introduces a new optimal control model to describe and control the dynamics of infectious diseases. In the present model, the average time of isolation (i.e. hospitalization) of infectious population is the main time-dependent…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…
We devise a theoretical model for the optimal dynamical control of an infectious disease whose diffusion is described by the SVIR compartmental model. The control is realized through implementing social rules to reduce the disease's spread,…
A key problem in modelling the evolution dynamics of infectious diseases is the mathematical representation of the mechanism of transmission of the contagion. Models with a finite number of subpopulations can be described via systems of…
In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial risk in European Union (EU). Two main aspects are considered:…
We apply optimal control theory to a tuberculosis model given by a system of ordinary differential equations. Optimal control strategies are proposed to minimize the cost of interventions, considering reinfection and post-exposure…