Related papers: Intervention On Default Contagion Under Partial In…
This paper develops a model of \textit{identification design} and applies it to robust causal inference in microeconometrics. The decision maker observes the population distribution of signals generated by an information structure and ranks…
We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information…
In randomized controlled trials (RCTs) of infectious disease interventions, it is well recognized that unmeasured individual heterogeneity at baseline can induce selection bias over time, thereby complicating the interpretation of the…
The vast majority of strategies aimed at controlling contagion processes on networks considers the connectivity pattern of the system as either quenched or annealed. However, in the real world many networks are highly dynamical and evolve…
We address the problem of optimal Central Bank intervention in the exchange rate market when interventions create feedback in the rate dynamics. In particular, we extend the work done on optimal impulse control by Cadenillas and Zapatero to…
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
This paper investigates the case of interference, when a unit's treatment also affects other units' outcome. When interference is at work, policy evaluation mostly relies on the use of randomized experiments under cluster interference and…
We study contagion and systemic risk in sparse financial networks with balance-sheet interactions on a directed random graph. Each institution has homogeneous liabilities and equity, and exposures along outgoing edges are split equally…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
We investigate infectious disease spreading on scale-free networks using a heterogeneous mean-field approach applied to the susceptible-infected-susceptible model, incorporating a mitigation factor. Individual heterogeneity is incorporated…
Epidemics of infectious diseases posing a serious risk to human health have occurred throughout history. During recent epidemics there has been much debate about policy, including how and when to impose restrictions on behaviour.…
In this study, we investigate the under-explored intervention planning aimed at disseminating accurate information within dynamic opinion networks by leveraging learning strategies. Intervention planning involves identifying key nodes…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
The network interference model for causal inference places all experimental units at the vertices of an undirected exposure graph, such that treatment assigned to one unit may affect the outcome of another unit if and only if these two…
Risk assessment is a substantial problem for financial institutions that has been extensively studied both for its methodological richness and its various practical applications. With the expansion of inclusive finance, recent attentions…
Current understanding holds that financial contagion is driven mainly by the system-wide interconnectedness of institutions. A distinction has been made between systematic and idiosyncratic channels of contagion, with shocks transmitted…
In many applied fields, researchers are often interested in tailoring treatments to unit-level characteristics in order to optimize an outcome of interest. Methods for identifying and estimating treatment policies are the subject of the…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…