GB-London WC2A 2AE
London School of Economics & Political Science (LSE) - Department of Mathematics
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interbank network, systemic risk, bailout, bank mergers
Stochastic volatility, volatility of volatility, stochastic correlation, leverage effect, Jacobi process, Ornstei-Uhlenbeck process, square root diffusion, Lévy process, Heston
Unknown interbank liabilities, systemic risk, Gibbs sampler
optimal investment, power-utility, parameter uncertainty, risk aversion, L1-norm constraint, sparse portfolio
systemic risk, multiple maturities, clearing, financial networks
Systemic Risk, Multiple Maturities, Clearing, Financial Networks
Systemic risk, financial networks, distress contagion, default contagion, reduced form approach, bankruptcy costs, ordering results
Bayesian methods, random graphs, matrix balancing, systemic risk
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optimal investment, continuous time, estimation effects, lasso, shrinkage, vast portfolios
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