DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ahn, Dohyun | ko |
dc.contributor.author | Kim, Kyoung-Kuk | ko |
dc.date.accessioned | 2019-07-29T03:20:17Z | - |
dc.date.available | 2019-07-29T03:20:17Z | - |
dc.date.created | 2019-03-31 | - |
dc.date.issued | 2019-07 | - |
dc.identifier.citation | OPERATIONS RESEARCH LETTERS, v.47, no.4, pp.257 - 263 | - |
dc.identifier.issn | 0167-6377 | - |
dc.identifier.uri | http://hdl.handle.net/10203/263860 | - |
dc.description.abstract | We consider optimal intervention methods under budget constraints when financial systems face economic shocks. We propose two policies formulated by mixed-integer linear programs where regulators inject cash into institutions. One is to minimize systemic losses, and the other is to minimize the number of defaulting institutions. Using publicly available data on the Korean financial system, we construct its entire network and apply stress scenarios to the system to compare the performances of intervention strategies and derive insights on their workings. (C) 2019 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.title | Optimal Intervention under Stress Scenarios: A Case of the Korean Financial System | - |
dc.type | Article | - |
dc.identifier.wosid | 000474502700006 | - |
dc.identifier.scopusid | 2-s2.0-85064323588 | - |
dc.type.rims | ART | - |
dc.citation.volume | 47 | - |
dc.citation.issue | 4 | - |
dc.citation.beginningpage | 257 | - |
dc.citation.endingpage | 263 | - |
dc.citation.publicationname | OPERATIONS RESEARCH LETTERS | - |
dc.identifier.doi | 10.1016/j.orl.2019.03.019 | - |
dc.contributor.localauthor | Kim, Kyoung-Kuk | - |
dc.contributor.nonIdAuthor | Ahn, Dohyun | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Systemic risk | - |
dc.subject.keywordAuthor | Financial network | - |
dc.subject.keywordAuthor | Optimal intervention | - |
dc.subject.keywordAuthor | Stress testing | - |
dc.subject.keywordPlus | CONTAGION | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordPlus | RISK | - |
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