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q-fin.RM2019
An assets-liabilities dynamical model of banking system and systemic risk governance
Lorella Fatone, Francesca Mariani
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and it…
q-fin.RM2018
Systemic risk governance in a dynamical model of a banking system
Lorella Fatone, Francesca Mariani
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential…