Related papers: Banking risk as an epidemiological model: an optim…
The design of an efficient curing policy, able to stem an epidemic process at an affordable cost, has to account for the structure of the population contact network supporting the contagious process. Thus, we tackle the problem of…
The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer…
We apply optimal control theory to a generalized SEIR-type model. The proposed system has three controls, representing social distancing, preventive means, and treatment measures to combat the spread of the COVID-19 pandemic. We analyze…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
We propose a deterministic compartmental model of infectious disease which considers the test-kits as an important ingredient for the suppression and mitigation of epidemics. A rigorous simulation (with analytical argument) is provided to…
This work aims to provide an approach to the macroscopic modeling and simulation of pedestrian flow, coupled with contagion spreading, towards numerical investigation of the effect of certain, macro-control measures on epidemics transport…
This paper empirically analyzes a dataset published by the European Banking Authority. Our main aim was to study how the Leverage Ratio is affected by adverse financial scenarios. This was be followed by observing how Leverage Ratio…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the…
Epidemic spreading is well understood when a disease propagates around a contact graph. In a stochastic susceptible-infected-susceptible setting, spectral conditions characterise whether the disease vanishes. However, modelling human…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in the foreign market is allowed, and therefore, the foreign…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
We approach the development of models and control strategies of susceptible-infected-susceptible (SIS) epidemic processes from the perspective of marked temporal point processes and stochastic optimal control of stochastic differential…
The paper describes and compares three approaches to modeling an epidemic spread. The first approach is a well-known system of SIR ordinary differential equations. The second is a mean-field model, in which an isolation strategy for each…
This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gaussian stochastic-volatility models are unable to explain two…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
We formulate an optimal control problem to determine the lockdown policy to curb an epidemic where other control measures are not available yet. We present a unified framework to model the epidemic and economy that allows us to study the…
In this paper we consider non-atomic games in populations that are provided with a choice of preventive policies to act against a contagion spreading amongst interacting populations, be it biological organisms or connected computing…