英文标题：
《Intervention On Default Contagion Under Partial Information》
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作者：
Yang Xu
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最新提交年份：
2017
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英文摘要：
  We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting than most current literature. We provide the analytical results for the asymptotic optimal intervention policies and the asymptotic magnitude of default contagion in terms of the network characteristics. We extend the results of Amini et al. (2013) to incorporate interventions and the model of Amini et al. (2015); Amini et al. (2017) to heterogeneous networks with a given degree sequence and arbitrary initial equity levels. The insights from the results are that the optimal intervention policy is \"monotonic\" in terms of the intervention cost, the closeness to invulnerability and connectivity. Moreover, we should keep intervening on a bank once we have intervened on it. Our simulation results show a good agreement with the theoretical results.
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中文摘要：
我们在监管机构（中央银行）的干预下，仅使用部分信息对大型异质金融网络中的违约传染过程进行建模，这比大多数现有文献更现实。根据网络特征，我们给出了渐近最优干预策略和违约传染的渐近大小的分析结果。我们扩展了Amini等人（2013）的结果，以纳入干预措施和Amini等人（2015）的模型；Amini等人（2017）研究了具有给定学位序列和任意初始公平水平的异构网络。结果表明，最优干预政策在干预成本、接近抗毁性和连通性方面是“单调”的。此外，一旦我们对银行进行了干预，我们就应该继续对其进行干预。仿真结果与理论结果吻合较好。
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分类信息：

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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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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