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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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Vulnerability analysis of the financial network
Khabazian, Aein; Peng, Jiming - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3302-3321
Persistent link: https://www.econbiz.de/10012039993
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Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
Chi, Guotai; Yuan, Kunpeng; Zhou, Ying; Gong, Lingling - In: The journal of risk model validation 14 (2020) 4, pp. 65-87
Persistent link: https://www.econbiz.de/10014336043
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Optimales Preissetzungsverhalten von Banken am Markt für Zertifikate
Fuchs, Björn - 2011
Persistent link: https://www.econbiz.de/10008860275
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Selecting credit rating models : a cross-validation-based comparison of discriminatory power
Ryser, Marc; Denzler, Stefan - In: Financial markets and portfolio management 23 (2009) 2, pp. 187-203
Persistent link: https://www.econbiz.de/10003889886
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Selecting Credit Rating Models : A Cross-Validation-Based Comparison of Discriminatory Power
Ryser, Marc - 2010
applied to bank-specific credit portfolios. In this paper, we empirically compare and test the performance of a wide range of …
Persistent link: https://www.econbiz.de/10013142114
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Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.; Feng, Y.; Fouque, Jean-Pierre; Frittelli, Marco - In: Quantitative finance 23 (2023) 10, pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
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Computation of systemic risk measures : a mixed-integer programming approach
Ararat, Çağın; Meimanjan, Nurtai - In: Operations research 71 (2023) 6, pp. 2130-2145
Persistent link: https://www.econbiz.de/10014445030
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Systemic risk-efficient asset allocations : Minimization of systemic risk as a network optimization problem
Pichler, Anton; Poledna, Sebastian; Thurner, Stefan - In: Journal of financial stability 52 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012745456
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Centralized Clearing Mechanisms in Financial Networks : A Programming Approach
Csóka, Péter; Herings, P. 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/10013294101