英文标题：
《Banking risk as an epidemiological model: an optimal control approach》
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作者：
Olena Kostylenko, Helena Sofia Rodrigues, Delfim F. M. Torres
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最新提交年份：
2017
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英文摘要：
  The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of ordinary differential equations, simulating data from the largest European banks. Then, an optimal control problem is formulated in order to study the impact of a possible measure of the Central Bank in the economy. The proposed approach enables qualitative specifications of contagion in banking obtainment and an adequate analysis and prognosis within the financial sector development and macroeconomic as a whole. We show that our model describes well the reality of the largest European banks. Simulations were done using MATLAB and BOCOP optimal control solver, and the main results are taken for three distinct scenarios.
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中文摘要：
传染病传播建模的过程在流行病学中是众所周知的。然而，利差模型在银行市场的应用是最近才出现的。在这项工作中，我们提出了一个常微分方程系统，模拟来自欧洲最大银行的数据。然后，为了研究中央银行可能采取的措施对经济的影响，提出了一个最优控制问题。所提议的方法能够定性地说明银行获得的传染，并在整个金融部门发展和宏观经济中进行充分的分析和预测。我们表明，我们的模型很好地描述了欧洲最大银行的现实。使用MATLAB和BOCOP最优控制求解器进行了仿真，并针对三种不同的场景给出了主要结果。
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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