109 citations · 224 across the 16 of their papers we have counts for
16 papers
Impact of asymptomatic COVID-19 carriers on pandemic policy outcomes
Weijie Pang, Hassan Chehaitli, T. R. Hurd
This paper provides a mathematical model to show that the incorrect estimation of r, the fraction of asymptomatic COVID-19 carriers in the general population, can account for much…
Contingent Convertible Obligations and Financial Stability
Zachary Feinstein, T. R. Hurd
This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations. The qu…
A framework for analyzing contagion in assortative banking networks
Thomas R. Hurd, James P. Gleeson, Sergey Melnik
We introduce a probabilistic framework that represents stylized banking networks with the aim of predicting the size of contagion events. Most previous work on random financial net…
Optimal Portfolios of Illiquid Assets
T. R. Hurd, Quentin H. Shao, Tuan Tran
This paper investigates the investment behaviour of a large unregulated financial institution (FI) with CARA risk preferences. It shows how the FI optimizes its trading to account…
Double Cascade Model of Financial Crises
Thomas R. Hurd, Davide Cellai, Sergey Melnik +1
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagi…
On Watts' Cascade Model with Random Link Weights
T. R. Hurd, James P. Gleeson
We study an extension of Duncan Watts' 2002 model of information cascades in social networks where edge weights are taken to be random, an innovation motivated by recent applicatio…