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What is the minimal systemic risk in financial exposure networks?

Diem, Christian; Pichler, Anton; Thurner, Stefan - In: Journal of economic dynamics & control 116 (2020), pp. 1-28

Persistent link: https://www.econbiz.de/10012503232

Optimization of Constrained Liquidity Management

Tawfik, Maged - 2018

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …

Persistent link: https://www.econbiz.de/10012932264

Optimal Network Compression

Amini, Hamed - 2020

This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial inter-bank network. We prove that this problem is, generically, NP-hard....

Persistent link: https://www.econbiz.de/10012825191

Centralized clearing mechanisms in financial networks : a programming approach

Csóka, Péter; Herings, Peter Jean-Jacques - 2022

Persistent link: https://www.econbiz.de/10013162480

Centralized clearing mechanisms in financial networks : a programming approach

Csóka, Péter; Herings, Peter Jean-Jacques - 2022

We consider financial networks where agents are linked to each other with financial contracts. A centralized clearing mechanism collects the initial endowments, the liabilities and the division rules of the agents and determines the payments to be made. A division rule specifies how the assets...

Persistent link: https://www.econbiz.de/10013173929

Dynamic Credit-Collections Optimization

Chehrazi, Naveed - 2018

Based on a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts as a self-exciting point process, a bank can control the arrival intensity of repayments using costly account-treatment actions. A semi-analytic solution to the corresponding stochastic...

Persistent link: https://www.econbiz.de/10012937338

Modernising intra-day liquidity optimisation for commercial banks

Feuillette, Jeremie; Towning, Will; Soramäki, Kimmo - In: Journal of digital banking 8 (2023) 1, pp. 58-64

Persistent link: https://www.econbiz.de/10014364593

How to sell a (bankrupt) company

Cornelli, Francesca; Felli, Leonardo - 2000

The restructuring of a bankrupt company often entails the sale of such company. This paper suggests a way to sell the company that maximizes the creditors' proceeds. The key to this proposal is the option left to the creditors to retain a fraction of the shares of the company. Indeed, by...

Persistent link: https://www.econbiz.de/10001489494

Preference disaggregation methodology in segmentation problems : the case of financial distress

Zopounidis, Constantin - In: New operational approaches for financial modelling, (pp. 417-439). 1997

Persistent link: https://www.econbiz.de/10001299201

Genetic algorithms applications in the analysis of insolvency risk

Varetto, Franco - In: Journal of banking & finance 22 (1998) 10, pp. 1421-1439

Persistent link: https://www.econbiz.de/10001338689