Zobrazeno 1 - 10
of 321
pro vyhledávání: '"Hurd T"'
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 of the world's failure to contain the pandemic in its early phases. Th
Externí odkaz:
http://arxiv.org/abs/2102.10042
Autor:
Feinstein, Zachary, Hurd, T. R.
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 question is framed in a financial network model of debt and equity inter
Externí odkaz:
http://arxiv.org/abs/2006.01037
Autor:
Hurd, T. R.
Motivated by the need for novel robust approaches to modelling the Covid-19 epidemic, this paper treats a population of $N$ individuals as an inhomogeneous random social network (IRSN). The nodes of the network represent different types of individual
Externí odkaz:
http://arxiv.org/abs/2004.02779
Autor:
Hurd, T. R.
This systemic risk paper introduces inhomogeneous random financial networks (IRFNs). Such models are intended to describe parts, or the entirety, of a highly heterogeneous network of banks and their interconnections, in the global financial system. B
Externí odkaz:
http://arxiv.org/abs/1909.09239
Autor:
Hurd, T. R.
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that can propagat
Externí odkaz:
http://arxiv.org/abs/1711.05289
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 for market illiquidity using an extension of the Almgren-Chriss market
Externí odkaz:
http://arxiv.org/abs/1610.00395
Autor:
Hurd, T. R.
In the new field of financial systemic risk, the network of interbank counterparty relationships can be described as a directed random graph. In "cascade models" of systemic risk, this "skeleton" acts as the medium through which financial contagion i
Externí odkaz:
http://arxiv.org/abs/1512.03084
Autor:
Hurd, T. R., Gleeson, James P.
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 applications of cascade analysis to systemic risk in financial networks. The mai
Externí odkaz:
http://arxiv.org/abs/1211.5708
Autor:
Aït-Sahalia, Yacine, Hurd, T. R.
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward jump in an
Externí odkaz:
http://arxiv.org/abs/1210.1598