Fabian Astic

Moody's Investors Service

99 Church Street

New York, NY 10007

United States

SCHOLARLY PAPERS

3

DOWNLOADS

446

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 (135,324)

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
Number of pages: 37 Posted: 16 Jun 2013 Last Revised: 07 Aug 2014
Fabian Astic and Agnes Tourin
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 142 (131,228)

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 (260,089)

Abstract:

bank regulations, optimal stochastic control, Finite Difference scheme