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The impact of systemic and illiquidity risk on financing with risky collateral
Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 50 (2015), pp. 180-202
Persistent link: https://www.econbiz.de/10010486947
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Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
Di Gangi, Domenico; Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 94 (2018), pp. 117-141
Persistent link: https://www.econbiz.de/10012004377
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What is the minimal systemic risk in financial exposure networks?
Diem, Christian; Pichler, Anton; Thurner, Stefan - In: Journal of economic dynamics & control 116 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012503232
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Profit maximization with bankruptcy and variable scale
Radner, Roy - In: Journal of economic dynamics & control 22 (1998) 6, pp. 849-867
Persistent link: https://www.econbiz.de/10001237959
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Distribution of bankruptcy time in a consumption/portfolio problem
Presman, Ernst - In: Journal of economic dynamics & control 20 (1996) 1, pp. 471-477
Persistent link: https://www.econbiz.de/10001190598
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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Envelope condition method with an application to default risk models
Arellano, Cristina; Maliar, Lilia; Maliar, Serguei; … - In: Journal of economic dynamics & control 69 (2016), pp. 436-459
Persistent link: https://www.econbiz.de/10011708605
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On the duration of a gambler's ruin problem
Ross, Sheldon M. - In: Operations research letters 51 (2023) 6, pp. 599-600
Persistent link: https://www.econbiz.de/10014465865
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Contagion and risk-sharing on the inter-bank market
Ladley, Dan - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1384-1400
Persistent link: https://www.econbiz.de/10009751158
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A decomposition method for solving multicommodity network equilibria
Bùi, Minh N. - In: Operations research letters 50 (2022) 1, pp. 40-44
Persistent link: https://www.econbiz.de/10013177160