相关论文: Optimal Clearing Payments in a Financial Contagion…

Empirical measures of financial connectedness based on Forecast Error Variance Decompositions (FEVDs) often yield dense network structures that obscure true transmission channels and complicate the identification of systemic risk. This…

We present a model of credit card profitability, assuming that the card-holder always pays the full outstanding balance. The motivation for the model is to calculate an optimal credit limit, which requires an expression for the expected…

Bargaining networks model the behavior of a set of players that need to reach pairwise agreements for making profits. Nash bargaining solutions are special outcomes of such games that are both stable and balanced. Kleinberg and Tardos…

The forecasting of credit default risk has been an active research field for several decades. Historically, logistic regression has been used as a major tool due to its compliance with regulatory requirements: transparency, explainability,…

A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the financial loss of a…

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…

Matrix completion is a modern missing data problem where both the missing structure and the underlying parameter are high dimensional. Although missing structure is a key component to any missing data problems, existing matrix completion…

We consider the matrix completion problem where the aim is to esti-mate a large data matrix for which only a relatively small random subset of its entries is observed. Quite popular approaches to matrix completion problem are iterative…

We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for…

We present convergence theory for corrected quadrature rules on uniform Cartesian grids for functions with a point singularity. We begin by deriving an error estimate for the punctured trapezoidal rule, and then derive error expansions. We…

Inspired by reliability issues in electric transmission networks, we use a probabilistic approach to study the occurrence of large failures in a stylized cascading failure model. In this model, lines have random capacities that initially…

We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…

Optimization is widely used to determine the physical and financial exchange of wholesale electricity in organized markets. Guarantees of solution optimality and feasibility rest largely on convexity, which is not in general a…

The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…

The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…

Algorithmic lending has transformed the consumer credit landscape, with complex machine learning models now commonly used to make or assist underwriting decisions. To comply with fair lending laws, these algorithms typically exclude legally…

Complex networks are everywhere. They appear for example in the form of biological networks, social networks, or computer networks and have been studied extensively. Efficient algorithms to solve problems on complex networks play a central…

In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by F\"ollmer, Schied (2002). The…

Competition between a complex system's constituents and a corresponding reward mechanism based on it have profound influence on the functioning, stability, and evolution of the system. But determining the dominance hierarchy or ranking…

This paper characterizes optimal classification when individuals adjust their behavior in response to the classification rule. We model the interaction between a designer and a population as a Stackelberg game: the designer selects a…