9 citations · 12 across the 5 of their papers we have counts for
5 papers
Group Survival Probability under Contagion in Microlending
Héctor Jasso-Fuentes, Alejandra Quintos, Xinta Yang
In the context of micro-finance, a group of individuals undertake business projects that may interfere with one another. A contagious default happens if one person's project failur…
Robust Reinforcement Learning under Diffusion Models for Data with Jumps
Chenyang Jiang, Donggyu Kim, Alejandra Quintos +1
Reinforcement Learning (RL) has proven effective in solving complex decision-making tasks across various domains, but challenges remain in continuous-time settings, particularly wh…
Stopping Times Occurring Simultaneously
Philip Protter, Alejandra Quintos
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. T…
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
Robert Jarrow, Philip Protter, Alejandra Quintos
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The d…
Optimal Group Size in Microlending
Philip Protter, Alejandra Quintos
Microlending, where a bank lends to a small group of people without credit histories, began with the Grameen Bank in Bangladesh, and is widely seen as the creation of Muhammad Yunu…