Fabian Astic

Moody's Investors Service

99 Church Street

New York, NY 10007

United States

  • Moody's Investors Service

SCHOLARLY PAPERS

3

DOWNLOADS

602

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

Actions:
Email selected abstracts
1.

Optimal Bank Management Under Capital and Liquidity Constraints

Journal of Financial Engineering, Forthcoming, NYU Tandon Research Paper No. 2279627
Number of pages: 37 Posted: 16 Jun 2013 Last Revised: 26 Jun 2017
Fabian Astic and Agnes Tourin
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 253 (221,700)
Citation 1

Abstract:

Loading...

Liquidity, bank regulations, optimal portfolio selection, transaction costs

2.

On the Credit Risk of Secured Loans with Maximum Loan-to-Value Covenants

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 21 Posted: 27 Oct 2011 Last Revised: 07 Aug 2014
Fabian Astic and Agnes Tourin
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 224 (249,490)

Abstract:

Loading...

Credit risk, secured loans, illiquid asset, optimal stochastic control, HJB equation

3.

A Regulated Bank Optimal Portfolio with Correlated Liquid and Illiquid Assets

Number of pages: 15 Posted: 10 Mar 2014 Last Revised: 01 Apr 2014
Fabian Astic and Agnes Tourin
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 125 (413,033)

Abstract:

Loading...

bank regulations, optimal stochastic control, Finite Difference scheme