Minca, Andreea; Sulem, Agnès - In: Statistics & Risk Modeling 31 (2014) 1, pp. 23-48
Abstract We study a preferred equity infusion government program set to
mitigate interbank contagion. Financial institutions are prone to
insolvency risk channeled through the network of interbank debt and to
funding liquidity risk. The government seeks to maximize, under budget
constraints,...