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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

Optimization of Constrained Liquidity Management

Tawfik, Maged - 2018

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …

Persistent link: https://www.econbiz.de/10012932264

Optimal Network Compression

Amini, Hamed - 2020

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 inter-bank network. We prove that this problem is, generically, NP-hard....

Persistent link: https://www.econbiz.de/10012825191

Centralized clearing mechanisms in financial networks : a programming approach

Csóka, Péter; Herings, Peter Jean-Jacques - 2022

We consider financial networks where agents are linked to each other with financial contracts. A centralized clearing mechanism collects the initial endowments, the liabilities and the division rules of the agents and determines the payments to be made. A division rule specifies how the assets...

Persistent link: https://www.econbiz.de/10013173929

Centralized clearing mechanisms in financial networks : a programming approach

Csóka, Péter; Herings, Peter Jean-Jacques - 2022

Persistent link: https://www.econbiz.de/10013162480

Dynamic Credit-Collections Optimization

Chehrazi, Naveed - 2018

Based on a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts as a self-exciting point process, a bank can control the arrival intensity of repayments using costly account-treatment actions. A semi-analytic solution to the corresponding stochastic...

Persistent link: https://www.econbiz.de/10012937338