We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived solution applies to a real banks network by obtaining a general solution when the aforementioned probability constraints are assumed for all the banks. We also present a direct method to compute the systemic relevance parameter for each bank within the network.

A lending scheme for a system of interconnected banks with probabilistic constraints of failure / Cordoni, F. G.; Di Persio, L.; Prezioso, L.. - In: AUTOMATICA. - ISSN 0005-1098. - 120:(2020), p. 109111. [10.1016/j.automatica.2020.109111]

A lending scheme for a system of interconnected banks with probabilistic constraints of failure

Cordoni F. G.;Di Persio L.;Prezioso L.
2020

Abstract

We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived solution applies to a real banks network by obtaining a general solution when the aforementioned probability constraints are assumed for all the banks. We also present a direct method to compute the systemic relevance parameter for each bank within the network.
Cordoni, F. G.; Di Persio, L.; Prezioso, L.
A lending scheme for a system of interconnected banks with probabilistic constraints of failure / Cordoni, F. G.; Di Persio, L.; Prezioso, L.. - In: AUTOMATICA. - ISSN 0005-1098. - 120:(2020), p. 109111. [10.1016/j.automatica.2020.109111]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11572/322948
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