英文标题：
《A lending scheme for a system of interconnected banks with probabilistic
  constraints of failure》
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作者：
Francesco Cordoni, Luca Di Persio and Luca Prezioso
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最新提交年份：
2019
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英文摘要：
  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.
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中文摘要：
我们推导了一个最优控制问题的闭式解，该问题涉及一个银行间贷款方案，该方案受通过金融网络互连的银行破产的终端概率约束。当上述概率约束假设适用于所有银行时，通过获得一般解，导出的解适用于实际银行网络。我们还提出了一种直接计算网络中每个银行的系统相关性参数的方法。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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