相关论文: Bailouts in Financial Networks

We consider reallocation problems in settings where the initial endowment of each agent consists of a subset of the resources. The private information of the players is their value for every possible subset of the resources. The goal is to…

Imposing constraints on the output of a Deep Neural Net is one way to improve the quality of its predictions while loosening the requirements for labeled training data. Such constraints are usually imposed as soft constraints by adding new…

The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards…

Recent theoretical work has demonstrated that deep neural networks have superior performance over shallow networks, but their training is more difficult, e.g., they suffer from the vanishing gradient problem. This problem can be typically…

A novel network-based approach is introduced to analyze banking systems, focusing on two main themes: identifying influential nodes within global banking networks using Bank for International Settlements data and developing an algorithm to…

We present a limits-to-arbitrage model to study the impact of securitization, leverage and credit risk protection on the cyclicity of bank credit. In a stable bank credit situation, no cycles of credit expansion or contraction appear.…

We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…

We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks…

The controllability of a network is a theoretical problem of relevance in a variety of contexts ranging from financial markets to the brain. Until now, network controllability has been characterized only on isolated networks, while the vast…

We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of $N$ banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the…

We consider a utility maximization problem over partially observable Markov ON/OFF channels. In this network instantaneous channel states are never known, and at most one user is selected for service in every slot according to the partial…

I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…

Emerging networked systems become increasingly flexible and reconfigurable. This introduces an opportunity to adjust networked systems in a demand-aware manner, leveraging spatial and temporal locality in the workload for online…

Consider a network game with linear best responses and spillovers between players, and let agents endogenously choose their links. A planner considers interventions to subsidize actions and/or links between players, aiming to maximize a…

The negative externalities from an individual bank failure to the whole system can be huge. One of the key purposes of bank regulation is to internalize the social costs of potential bank failures via capital charges. This study proposes a…

In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownian motion representing the evolution of the value of the…

Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket options and include information on the prices of other similar…

Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…

A central problem in business concerns the optimal allocation of limited resources to a set of available tasks, where the payoff of these tasks is inherently uncertain. In credit card fraud detection, for instance, a bank can only assign a…

Economic and financial networks play a crucial role in various important processes, including economic integration, globalization, and financial crises. Of particular interest is understanding whether the temporal evolution of a real…