Imagen de Portada

Optimal Clearing Payments in a Financial Contagion Model

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Calafiore, Giuseppe, Fracastoro, Giulia, Proskurnikov, Anton V.
Formato:	Preprint
Publicado:	2021
Materias:	Optimization and Control Computational Engineering, Finance, and Science Mathematical Finance Risk Management
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Clearing Payments in Dynamic Financial Networks
por: Calafiore, Giuseppe C., et al.
Publicado: (2022)

Default Resilience and Worst-Case Effects in Financial Networks
por: Calafiore, Giuseppe, et al.
Publicado: (2024)

Budgeted Robust Intervention Design for Financial Networks with Common Asset Exposures
por: Calafiore, Giuseppe C.
Publicado: (2026)

Dynamic Clearing and Contagion in Financial Networks
por: Banerjee, Tathagata, et al.
Publicado: (2018)

Risk Measures for DC Pension Plan Decumulation
por: Forsyth, Peter A., et al.
Publicado: (2025)

Singular Control in a Cash Management Model with Ambiguity
por: Archankul, Arnon, et al.
Publicado: (2023)

Risk-Averse Markov Decision Processes through a Distributional Lens
por: Cheng, Ziteng, et al.
Publicado: (2022)

Deep Learning the Efficient Frontier of Convex Vector Optimization Problems
por: Feinstein, Zachary, et al.
Publicado: (2022)

Robust Hedging of path-dependent options using a min-max algorithm
por: Banerjee, Purba, et al.
Publicado: (2025)

Statistical Validation of Contagion Centrality in Financial Networks
por: Sadeghi, Agathe, et al.
Publicado: (2024)

Convolution Bounds on Quantile Aggregation
por: Blanchet, Jose, et al.
Publicado: (2020)

Joint Stochastic Optimal Control and Stopping in Aquaculture: Finite-Difference and PINN-Based Approaches
por: Kamm, Kevin
Publicado: (2025)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
por: Zhang, Panpan, et al.
Publicado: (2023)

Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
por: Ren, Xin Yue, et al.
Publicado: (2024)

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework
por: Liu, Hanchao, et al.
Publicado: (2023)

Multiplicative Contractions, Additive Recoveries: Functional-Form Restrictions on Risk Exposure Dynamics
por: Chen, Liang
Publicado: (2026)

Set-Membership Localization via Range Measurements
por: Calafiore, Giuseppe C.
Publicado: (2026)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
por: Li, Chi-Lin, et al.
Publicado: (2023)

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
por: Kaakai, Sarah, et al.
Publicado: (2022)

Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments
por: van der Zwaard, T., et al.
Publicado: (2022)

DeFi Liquidation Risk Modeling Using Geometric Brownian Motion
por: Belenko, Timofei, et al.
Publicado: (2025)

Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling
por: Buehler, Hans, et al.
Publicado: (2025)

Global Balance and Systemic Risk in Financial Correlation Networks
por: Bartesaghi, Paolo, et al.
Publicado: (2024)

If Not Now, Then When? Model Risk in the Optimal Exercise of American Options
por: Rigby, Luna, et al.
Publicado: (2026)

Climate Risk Stress Testing in California: A Geospatial Framework for Banking and Climate-Exposed Sectors
por: Panda, Satya Narayana, et al.
Publicado: (2026)

On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making
por: Ewald, Christian Oliver, et al.
Publicado: (2023)

On the Benefit of Nonlinear Control for Robust Logarithmic Growth: Coin Flipping Games as a Demonstration Case
por: Proskurnikov, Anton V., et al.
Publicado: (2023)

Optimal Reinsurance under Endogenous Default and Background Risk
por: Liang, Zongxia, et al.
Publicado: (2025)

Formation of Optimal Interbank Networks under Liquidity Shocks
por: Rigobon, Daniel E., et al.
Publicado: (2022)

Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives
por: Chatziandreou, Konstantinos, et al.
Publicado: (2026)

Model-free Analysis of Dynamic Trading Strategies
por: Ananova, Anna, et al.
Publicado: (2020)

Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk
por: Rigana, Katerina, et al.
Publicado: (2024)

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices
por: Floc'h, Fabien Le
Publicado: (2023)

Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach
por: Gnabeyeu, Emmanuel, et al.
Publicado: (2024)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
por: Grzelak, Lech A.
Publicado: (2022)

Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets
por: Luwang, Salam Rabindrajit, et al.
Publicado: (2026)

A Methodology to Measure Impacts of Scenarios Through Expected Credit Losses
por: Alaghmandan, Mahmood, et al.
Publicado: (2026)

Optimal mutual insurance against systematic longevity risk
por: Armstrong, John, et al.
Publicado: (2024)

Optimal payoff under Bregman-Wasserstein divergence constraints
por: Pesenti, Silvana M., et al.
Publicado: (2024)

A Comparative Study of Factor Models for Different Periods of the Electricity Spot Price Market
por: Laudagé, Christian, et al.
Publicado: (2023)