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URL :  Contagion and Optimization in Financial Markets
Author : Jerome L. Stein
Detail : Published: 2012

The US financial crisis of 2008 involved the interaction of banks and security houses. The issues of “contagion” and debt crises became subjects of concern. The aim of this paper is to suggest dynamic nonlinear models of the interactions and optimization in financial markets, which explain the dynamics of contagion and the vulnerability of the financial sector to shocks. I compare stochastic and deterministic models of “optimal” debt. In each case an early warning signal of financial difficulties is an “excessive” debt ratio equal to the actual less the derived optimal ratio.

eBook Contents

Leverage and linkages in the financial markets – A dynamic nonlinear deterministic model of contagion – Analysis of debt crises: a comparison of stochastic and deterministic approaches to optimal debt – Deterministic (max,min expected growth) game against nature – Conclusion – Acknowledgement – References

eBook License: Copyrighted (Personal Use Only)

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