Fabian Astic

Moody's Investors Service

99 Church Street

New York, NY 10007

United States

SCHOLARLY PAPERS

3

DOWNLOADS

466

CITATIONS

0

Scholarly Papers (3)

1.

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 150 (138,103)

Abstract:

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

2.

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 142 (129,072)

Abstract:

Liquidity, bank regulations, optimal portfolio selection, transaction costs

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 47 (257,147)

Abstract:

bank regulations, optimal stochastic control, Finite Difference scheme