3 citations · 4 across the 5 of their papers we have counts for
6 papers
Optimal Catastrophe Bond Design and its Applications to Climate Change Risk
Andres Medina, Wei Wei
Catastrophe bonds have become a central instrument for transferring catastrophic risk to capital markets, yet their payout structures are typically specified exogenously rather tha…
Automated Risk Management Mechanisms in DeFi Lending Protocols: A Crosschain Comparative Analysis of Aave and Compound
Erum Iftikhar, Wei Wei, John Cartlidge
Blockchain-based decentralised lending is a rapidly growing and evolving alternative to traditional lending, but it poses new risks. To mitigate these risks, lending protocols have…
Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms
Chaofan Sun, Ken Seng Tan, Wei Wei
The replacement closeout convention has drawn more and more attention since the 2008 financial crisis. Compared with the conventional risk-free closeout, the replacement closeout c…
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency
Ken Seng Tan, Wei Wei, Xun Yu Zhou
This paper considers a time-inconsistent stopping problem in which the inconsistency arises from non-constant time preference rates. We show that the smooth pasting principle, the…
Optimal Switching at Poisson Random Intervention Times
Gechun Liang, Wei Wei
This paper introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switchin…
Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
Gechun Liang, Eva Lütkebohmert, Wei Wei
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liqui…