Control of interbank contagion under partial information
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Publication:3465254
Deterministic network models in operations research (90B10) Stochastic network models in operations research (90B15) Management decision making, including multiple objectives (90B50) Markov and semi-Markov decision processes (90C40) Corporate finance (dividends, real options, etc.) (91G50) Actuarial science and mathematical finance (91G99)
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Cites work
- A simple model of global cascades on random networks
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- 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
(10)- Uniqueness of equilibrium in a payment system with liquidation costs
- Optimization in curbing risk contagion among financial institutes
- Optimal intervention in economic networks using influence maximization methods
- A lending scheme for a system of interconnected banks with probabilistic constraints of failure
- Optimal intervention under stress scenarios: a case of the Korean financial system
- Optimal connectivity for a large financial network
- A Dynamic Contagion Risk Model with Recovery Features
- Optimal control of interbank contagion under complete information
- Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
- Large banks and systemic risk: insights from a mean-field game model
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