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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
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Identification of Macroeconomic Factors in Large Panels
Bork, Lasse - 2009
This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of over-identifying loading restrictions, while the structural shocks are estimated following...
Persistent link: https://www.econbiz.de/10013154051
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Identification of Macroeconomic Factors in Large Panels
Bork, Lasse - 2009
This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of over-identifying loading restrictions, while the structural shocks are estimated following...
Persistent link: https://www.econbiz.de/10013155955
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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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A data-driven explainable case-based reasoning approach for financial risk detection
Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - 2021
The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk....
Persistent link: https://www.econbiz.de/10012584957
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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
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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization
Burgess, Nicholas - 2021
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
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Exact Utilities Under Alternative Monetary Rules in a Simple Macro Model with Optimizing Agents
Henderson, Dale W.; Kim, Jinill - 2001
We construct an optimizing-agent model of a closed economy which is simple enough that we can use it to make exact utility calculations. There is a stabilization problem because there are one-period nominal contracts for wages, or prices, or both and shocks that are unknown at the time when...
Persistent link: https://www.econbiz.de/10014154210
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The Choice of a Monetary Policy Reaction Function in a Simple Optimizing Model
Henderson, Dale W.; Kim, Jinill - 1998
Monetary policy reaction functions are compared in a simple optimizing model with one-period nominal stickiness, i.i.d. shocks, and no capital accumulation. The interest rate is the instrument and is either kept constant, "interest rate targeting" for short, or used in targeting one of the...
Persistent link: https://www.econbiz.de/10014067220
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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