Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
We consider the problem faced by a central bank which bails out distressed financial institutions that pose systemic risk to the banking sector. In a structural default model with mutual obligations, the central agent seeks to inject a minimum amount of cash in order to limit defaults to a given pro...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Springer
2023
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