相关论文: Optimal Collaterals in Multi-Enterprise Investment…

We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…

We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…

This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…

This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial interbank network.…

Linear contracts are ubiquitous in practice, yet optimal contract theory often prescribes complex, nonlinear structures. We provide a distributional robustness justification for linear contracts. We study a principal-agent problem where the…

We study optimal contract design for large populations of heterogeneous agents whose actions generate network spillovers represented by an interaction function. In a linear-quadratic framework, we solve the finite-agent problem and its…

This paper studies contracting in the presence of externalities with a non-contractible outsider. Multiple equilibria arise from strategic symmetry between the insider agent and the outsider. To address strategic uncertainty, the principal…

In this two-part paper, we address the problem of finding the optimal precoding/multiplexing scheme for a set of non-cooperative links sharing the same physical resources, e.g., time and bandwidth. We consider two alternative optimization…

We study cascades on a two-layer multiplex network, with asymmetric feedback that depends on the coupling strength between the layers. Based on an analytical branching process approximation, we calculate the systemic risk measured by the…

Over-the-counter derivatives have contributed significantly to the effectiveness and efficiency of the international financial system but also entail significant counterparty credit risk. Collateralization is one of the most important and…

Designing optimal interdependent networks is important for the robustness and efficiency of national critical infrastructures. Here, we establish a two-person game-theoretic model in which two network designers choose to maximize the global…

We study a multi-agent contracting problem where agents exert costly effort to achieve individually observable binary outcomes. While the principal can theoretically extract the full social welfare using a discriminatory contract that…

We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…

How do inter-organizational networks emerge? Accounting for interdependence among ties while studying tie formation is one of the key challenges in this area of research. We address this challenge using an equilibrium framework where firms'…

We examine normal-form games in which players may \emph{pre-commit} to outcome-contingent transfers before choosing their actions. In the one-shot version of this model, Jackson and Wilkie showed that side contracting can backfire: even a…

We study a two-period moral hazard problem; there are two agents, with action sets that are unknown to the principal. The principal contracts with each agent sequentially, and seeks to maximize the worst-case discounted sum of payoffs,…

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…

We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…

We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…