Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Peng Chu Chen"'
Publikováno v:
Operations Research. 71:750-767
We study systemic risk in a supply chain network where firms are connected through purchase orders. Firms can be hit by cost or demand shocks, possibly leading to defaults. These shocks propagate through the supply chain network via input-output link
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6f9c9eb0c71c899b4551cf82b48f873d
https://doi.org/10.1287/opre.2022.2409
https://doi.org/10.1287/opre.2022.2409
Publikováno v:
Mathematical Finance. 29:137-173
We develop a fixed-income portfolio framework capturing the exponential decay of contagious intensities between successive default events. We show that the value function of the control problem is the classical solution to a recursive system of secon
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc3d2c68c0644597e596631df6e81899
https://doi.org/10.1111/mafi.12177
https://doi.org/10.1111/mafi.12177
Industry 4.0 is changing how we manage operations to drive systems more intelligently. Technologies and applications are rapidly evolving. Disruptive technologies, such as artificial intelligence, big data, cloud computing and digital twin, are shaki
Publikováno v:
Operations Research. 64:1121-1134
The objective of this study is to develop a majorization-based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, we quantify liability concentration by applying the majorization order to the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7b56412d6f1f2e8aa8272660d47ae289
https://doi.org/10.1287/opre.2015.1402
https://doi.org/10.1287/opre.2015.1402
Autor:
Yung-Peng Chu Chen, 朱陳永鵬
104
Bade District, Taoyuan City is situated in the northeast of Taoyuan City. Zhaoan Hakka ancestors in Bade District moved to Taiwan from Zhaoan County, Zhangzhou Prefecture, Fujian Province after the ban against moving to Taiwan was lifted dur
Bade District, Taoyuan City is situated in the northeast of Taoyuan City. Zhaoan Hakka ancestors in Bade District moved to Taiwan from Zhaoan County, Zhangzhou Prefecture, Fujian Province after the ban against moving to Taiwan was lifted dur
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/18390405592961181954
Publikováno v:
SSRN Electronic Journal.
We develop a fixed income portfolio framework which accounts for self-exciting default effects. Our empirically driven credit model captures the contagion mechanism through which the default of an obligor impacts the credit quality of others, as well
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0449d8e6ee52d32a04c1b21dc8c11fd4
https://doi.org/10.2139/ssrn.2665444
https://doi.org/10.2139/ssrn.2665444
Publikováno v:
SSRN Electronic Journal.
The objective of this study is to develop a majorization-based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, we quantify liability concentration by applying the majorization order to the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::41e3500e2f4fa18566ce89dcba27ca7e
https://doi.org/10.2139/ssrn.2517755
https://doi.org/10.2139/ssrn.2517755
Autor:
Agostino Capponi, Peng Chu Chen
Publikováno v:
SSRN Electronic Journal.
We propose a multi-period clearing framework, where the level of systemic risk is mitigated through the provision of liquidity assistance. The interbank liability network evolves stochastically over time, and assets of defaulted banks are sold to qua
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bc8379b29a90224bd38cadc11d168e3a
https://doi.org/10.2139/ssrn.2293426
https://doi.org/10.2139/ssrn.2293426