Auflistung LIF-SAFE Working Papers nach JEL-Klassifizierung "C63"
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Bank Networks: Contagion, Systemic Risk and Prudential Policy
(2015-07-01)We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the ... -
Endogenous Banks’ Networks, Cascades and Systemic Risk
(2014-06-01)We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct ... -
Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods
(2016-04-18)This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different ... -
Impact of public news sentiment on stock market index return and volatility
(2021-10-11)Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables ... -
Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk
(2014-03-26)This paper makes a conceptual contribution to the effect of monetary policy on financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary ... -
When Do Jumps Matter for Portfolio Optimization?
(2015-11-25)We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a ...