Control of interbank contagion under partial information

DOI10.1137/140981538MaRDI QIDQ3465254zbMATHOpenAlexFDO

Authors Hamed Amini, Andreea Minca, Agnès Sulem

Publication date 21 January 2016

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/140981538

zbMATH Keywords

optimal controlsystemic riskfinancial networks

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Deterministic network models in operations research (90B10) Corporate finance (dividends, real options, etc.) (91G50) Stochastic network models in operations research (90B15) Markov and semi-Markov decision processes (90C40) Actuarial science and mathematical finance (91G99)

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Cites work

• A simple model of global cascades on random networks
• Bank Runs, Deposit Insurance, and Liquidity
• Contagion in financial networks
• Handbook on systemic risk
• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• Mean field games and systemic risk
• Network topology of the interbank market
• Optimal control of interbank contagion under complete information
• Over-the-Counter Markets
• Random graphs and complex networks. Volume 1
• Spatial risk measures and their local specification: the locally law-invariant case
• Stability in a model of interbank lending
• Stochastic optimal control. The discrete time case
• Systemic risk in financial systems
• When do creditors with heterogeneous beliefs agree to run?

Cited in

(9)

• Optimal connectivity for a large financial network
• Optimal control of interbank contagion under complete information
• Optimal intervention in economic networks using influence maximization methods
• Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
• Optimization in curbing risk contagion among financial institutes
• A lending scheme for a system of interconnected banks with probabilistic constraints of failure
• A Dynamic Contagion Risk Model with Recovery Features
• Optimal intervention under stress scenarios: a case of the Korean financial system
• Uniqueness of equilibrium in a payment system with liquidation costs

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