Zobrazeno 1 - 10
of 51
pro vyhledávání: '"Hałaj, Grzegorz"'
We build a balance sheet-based model to capture run risk, i.e., a reduced potential to raise capital from liquidity buffers under stress, driven by depositor scrutiny and further fueled by fire sales in response to withdrawals. The setup is inspired
Externí odkaz:
http://arxiv.org/abs/2407.03285
Publikováno v:
In Journal of Financial Stability April 2024 71
Autor:
Feinstein, Zachary, Hałaj, Grzegorz
Publikováno v:
In Journal of Economic Dynamics and Control October 2023 155
Publikováno v:
In Journal of Banking and Finance May 2022 138
Publikováno v:
In Journal of Economic Dynamics and Control December 2021 133
Autor:
Hałaj, Grzegorz
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - density quantization - is introduced which reduces the
Externí odkaz:
http://arxiv.org/abs/1009.5806
Autor:
Hüser, Anne-Caroline, Hałaj, Grzegorz, Kok, Christoffer, Perales, Cristian, van der Kraaij, Anton
Publikováno v:
In Journal of Financial Stability October 2018 38:81-97
Autor:
Hałaj, Grzegorz
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 1 August 2018 503:1151-1181
Autor:
Anand, Kartik, van Lelyveld, Iman, Banai, Ádám, Friedrich, Soeren, Garratt, Rodney, Hałaj, Grzegorz, Fique, Jose, Hansen, Ib, Jaramillo, Serafín Martínez, Lee, Hwayun, Molina-Borboa, José Luis, Nobili, Stefano, Rajan, Sriram, Salakhova, Dilyara, Silva, Thiago Christiano, Silvestri, Laura, de Souza, Sergio Rubens Stancato
Publikováno v:
In Journal of Financial Stability April 2018 35:107-119