15 citations · 15 across the 2 of their papers we have counts for
2 papers
q-fin.MF2016
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…
q-fin.GN2013★ 15 cited
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…