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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

On shadow-prices of banks in real-time gross settlement systems

Penaloza, Rodrigo Andrés de Souza (contributor) - 2003

Persistent link: https://www.econbiz.de/10001774028

Optimization of Constrained Liquidity Management

Tawfik, Maged - 2018

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering expected cashflow gaps without violating regulatory and business constraints. Anticipated economic value loss, cashflow loss, and adverse market impact are the major drivers of...

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

Calibration of the shadow rate to the euro area using genetic algorithms

McCoy, Eric; Clemens, Ulrich - 2017

Persistent link: https://www.econbiz.de/10011715027

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 … lattice structure, leading to the existence of a least and a greatest clearing payment matrix. Previous research has shown how … decentralized clearing selects the least clearing payment matrix. We present a centralized approach towards clearing in order to …

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