2 papers
q-fin.RM2022
Optimal Systemic Risk Bailout: A PGO Approach Based on Neural Network
Shuhua Xiao, Jiali Ma, Li Xia +1
In the financial system, bailout strategies play a pivotal role in mitigating substantial losses resulting from systemic risk. However, the lack of a closed-form objective function…
q-fin.PM2022
Systemic Risk of Optioned Portfolios: Controllability and Optimization
Xiaochuan Pang, Shushang Zhu, Xueting Cui +1
We investigate the portfolio selection problem against the systemic risk which is measured by CoVaR. We first demonstrate that the systemic risk of pure stock portfolios is essenti…