Skip to Main content Skip to Navigation
Journal articles

Optimal Control of Interbank Contagion Under Complete Information

Andreea Minca 1, 2 Agnès Sulem 2
2 MATHRISK - Mathematical Risk handling
Inria Paris-Rocquencourt, UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech
Abstract : We study the optimal control of interbank contagion, when the government has complete information on interbank exposures. Financial institutions are prone to insolvency risk channeled through the network of exposures and to liquidity risk through bank runs. The government seeks to maximize, under budget constraints the total value of the financial system or, equivalently, to minimize the dead-weight loss induced by bank runs. The problem can be expressed as a convex optimization problem with a combinatorial aspect, tractable when the set of banks eligible for intervention is sufficiently, yet realistically, small
Document type :
Journal articles
Complete list of metadata

Cited literature [24 references]  Display  Hide  Download

https://hal.inria.fr/hal-00916695
Contributor : Martine Verneuille <>
Submitted on : Wednesday, January 29, 2014 - 1:48:42 PM
Last modification on : Friday, June 11, 2021 - 5:12:08 PM
Long-term archiving on: : Sunday, April 9, 2017 - 2:08:21 AM

File

SSRN-id2317516.pdf
Files produced by the author(s)

Identifiers

Collections

Citation

Andreea Minca, Agnès Sulem. Optimal Control of Interbank Contagion Under Complete Information. Statistics & Risk Modeling with Applications in Finance and Insurance, De Gruyter, 2014, 31 (1), pp.1001-1026. ⟨10.1524/Strm.2014.5005⟩. ⟨hal-00916695v2⟩

Share

Metrics

Record views

537

Files downloads

656