相关论文: Bailouts in Financial Networks
In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a network of obligations through blockchain. In particular, we…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
Valuing corporate bonds in systemic economies is challenging due to intricate webs of inter-institutional exposures. When a bank defaults, cascading losses propagate through the network, with payments determined by a system of fixed-point…
We study the optimal pricing strategies of a monopolist selling a divisible good (service) to consumers that are embedded in a social network. A key feature of our model is that consumers experience a (positive) local network effect. In…
Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded leverage limit. To this end, we formulate an…
Modern financial networks are highly connected and result in complex interdependencies of the involved institutions. In the prominent Eisenberg-Noe model, a fundamental aspect is clearing -- to determine the amount of assets available to…
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network…
The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand…
In [1] Zawadoski introduces a banking network model in which the asset and counter-party risks are treated separately and the banks hedge their assets risks by appropriate OTC contracts. In his model, each bank has only two counter-party…
Consumer Debt has risen to be an important problem of modern societies, generating a lot of research in order to understand the nature of consumer indebtness, which so far its modelling has been carried out by statistical models. In this…
Decision-theoretic troubleshooting is one of the areas to which Bayesian networks can be applied. Given a probabilistic model of a malfunctioning man-made device, the task is to construct a repair strategy with minimal expected cost. The…
Robust optimization is concerned with constructing solutions that remain feasible also when a limited number of resources is removed from the solution. Most studies of robust combinatorial optimization to date made the assumption that every…
Networking companies, especially the ones with the biggest market shares, tend to offer end to end solutions for their customers, with large discounts, that it would sound irrational to decline such offers, helping contractors make larger…
We study the network pricing problem where the leader maximizes their revenue by determining the optimal amounts of tolls to charge on a set of arcs, under the assumption that the followers will react rationally and choose the shortest…
Cascading failures, such as bankruptcies and defaults, pose a serious threat for the resilience of the global financial system. Indeed, because of the complex investment and cross-holding relations within the system, failures can occur as a…
Recently, there has been a growing interest in network research, especially in these fields of biology, computer science, and sociology. It is natural to address complex financial issues such as the European sovereign debt crisis from the…
Network optimization has generally been focused on solving network flow problems, but recently there have been investigations into optimizing network characteristics. Optimizing network connectivity to maximize the number of nodes within a…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a distress-recovery tool. We formulate this as a stochastic…
We consider a fundamental dynamic allocation problem motivated by the problem of $\textit{securities lending}$ in financial markets, the mechanism underlying the short selling of stocks. A lender would like to distribute a finite number of…