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Optimal investment in credit derivatives portfolio under contagion risk

Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834

Persistent link: https://www.econbiz.de/10011583805

Contagious defaults in a credit portfolio : a Bayesian network approach

Anagnostou, Ioannis; Sanchez Rivero, Javier; Sourabh, Sumit - In: The journal of credit risk : published quarterly by … 16 (2020) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10012298963

Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates

Tan, Jiyang; Li, Chun; Li, Ziqiang; Xiangqun, Yang; … - In: Mathematical methods of operations research 82 (2015) 1, pp. 61-83

Persistent link: https://www.econbiz.de/10011308397

Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion

Cheung, Eric C. K.; Zhang, Zhimin - In: Scandinavian actuarial journal 2021 (2021) 9, pp. 804-831

Persistent link: https://www.econbiz.de/10012653689

Overlapping portfolios, contagion, and financial stability

Caccioli, Fabio; Farmer, J. Doyne; Foti, Nick; … - In: Journal of economic dynamics & control 51 (2015), pp. 50-63

Persistent link: https://www.econbiz.de/10011474265

Simulating fire sales in a system of banks and asset managers

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2020

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism...