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 interconnectedthrough a financial network. The derived solution applies to a real banks network by obtaining ageneral 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
Titolo: | A lending scheme for a system of interconnected banks with probabilistic constraints of failure |
Autori: | |
Data di pubblicazione: | 2020 |
Rivista: | |
Handle: | http://hdl.handle.net/11562/1021154 |
Appare nelle tipologie: | 01.01 Articolo in Rivista |
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