Related papers: Optimal Clearing Payments in a Financial Contagion…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
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…
For vanilla derivatives that constitute the bulk of investment banks' hedging portfolios, central clearing through central counterparties (CCPs) has become hegemonic. A key mandate of a CCP is to provide an efficient and proper clearing…
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
The problem of cascading failures in cyber-physical systems is drawing much attention in lieu of different network models for a diverse range of applications. While many analytic results have been reported for the case of large networks,…
There has been intensive research regarding machine learning models for predicting bankruptcy in recent years. However, the lack of interpretability limits their growth and practical implementation. This study proposes a data-driven…
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…
The increasingly complex economic and financial environment in which we live makes the management of liquidity in payment systems and the economy in general a persistent challenge. New technologies are making it possible to address this…
Many supervised machine learning methods are naturally cast as optimization problems. For prediction models which are linear in their parameters, this often leads to convex problems for which many mathematical guarantees exist. Models which…
The Fixed-Charge Network Flow problem is a well-studied NP-hard problem that has the goal of finding a flow in a network where fixed edge costs are incurred, regardless of the amount of flow hosted by the edge. In this paper, we consider…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
We consider the worst-case load-shedding problem in electric power networks where a number of transmission lines are to be taken out of service. The objective is to identify a pre-specified number of line outage that leads to the maximum…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
This paper presents a model to describe contractual dispute resolution by mediation in situations where a defaulting supplier is near insolvent. While each party has internal constraints, and if alternate performances are available, such as…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
This paper studies a Markov network model for unbalanced data, aiming to solve the problems of classification bias and insufficient minority class recognition ability of traditional machine learning models in environments with uneven class…
The increasing penetration of electric vehicles over the coming decades, taken together with the high cost to upgrade local distribution networks and consumer demand for home charging, suggest that managing congestion on low voltage…
Money laundering is a global problem that concerns legitimizing proceeds from serious felonies (1.7-4 trillion euros annually) such as drug dealing, human trafficking, or corruption. The anti-money laundering systems deployed by financial…
Causal inference provides an analytical framework to identify and quantify cause-and-effect relationships among a network of interacting agents. This paper offers a novel framework for analyzing cascading failures in power transmission…