Opaque bank assets and optimal equity capital

DOI10.1016/J.JEDC.2019.01.005MaRDI QIDQ1734564zbMATH OpenOpenAlexFDO

Authors Min Dai, Shan Huang, Jussi Keppo

Publication date 27 March 2019

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2019.01.005

zbMATH Keywords

investmentdividendsbank capitalbanking regulationearnings smoothing

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)

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Cites work

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• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
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• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Firm behaviour under the threat of liquidation
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• Learning and information aggregation in an exit game
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• Optimal consumption and investment with fixed and proportional transaction costs
• The Impact of Uncertainty Shocks
• The demand for information: More heat than light
• The impact of delivery lags on irreversible investment under uncertainty
• Unintended consequences of the market risk requirement in banking regulation
• Weak dynamic programming principle for viscosity solutions

Cited in

(7)

• Optimal capital requirements with noisy signals on banking risk
• A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
• Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
• Variance regularization in sequential Bayesian optimization
• Why banks should keep secrets
• State-contingent bank regulation with unobserved actions and unobserved characteristics
• Variational inequalities arising from credit rating migration with buffer zone

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