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Akademický článek

Centralized clearing mechanisms: A programming approach

Autor: Peter Csoka, P. Jean-Jacques Herings

Publikováno v: Journal of Mechanism and Institution Design, Vol 7, Iss 1, Pp 45-69 (2022)

We consider financial networks where agents are linked to each other by financial contracts. A centralized clearing mechanism collects the initial endowments, the liabilities and the division rules of the agents and determines the payments to be made

Externí odkaz: https://doaj.org/article/7e1d579c14e84b3fb9db337d25654ed6

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Elektronická kniha

Introduction to R for Quantitative Finance : R Is a Statistical Computing Language That's Ideal for Answering Quantitative Finance Questions. This Book Gives You Both Theory and Practice, All in Clear Language with Stacks of Real-world Examples. Ideal for R Beginners or Expert Alike.

Autor: Gergely Daróczi, Michael Phule, Edina Berlinger (EURO), Peter Csoka, Daniel Daniel Havran, Marton Michaletzky, Zsolt Tulassay, Kata Váradi, Agnes Vidovics-Dancs, Agnes Vidovics Dancs

R is a statistical computing language that s ideal for answering quantitative finance questions. This book gives you both theory and practice, all in clear language with stacks of real-world examples. Ideal for R beginners or expert alike.Key Feature

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Liability games

Autor: Peter Csoka, P. Jean-Jacques Herings

Publikováno v: Games and Economic Behavior, 116, 260-268. Elsevier Science

We analyze the question of how to distribute the asset value of an insolvent firm among its creditors and the firm itself. Compared to standard bankruptcy games as studied in the game-theoretic literature, we treat the firm as a player and define a n

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::86bb13baef633de7f11f7a0efda76f4e
https://doi.org/10.1016/j.geb.2019.05.007

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Uniqueness of Clearing Payment Matrices in Financial Networks

Autor: Peter Csoka, P. Jean-Jacques Herings

Publikováno v: SSRN Electronic Journal.

We study bankruptcy problems in financial networks in the presence of general bankruptcy laws. The set of clearing payment matrices is shown to be a lattice, which guarantees the existence of a greatest clearing payment and a least clearing payment.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::692527371d5eb48cdbaed2e60747a097
https://doi.org/10.2139/ssrn.3932444

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