Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem

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...

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Bibliografiske detaljer
Main Authors:	Cuchiero, C, Reisinger, C, Rigger, S
Format:	Journal article
Sprog:	English
Udgivet:	Springer 2023

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