英文标题：
《Modeling Financial System with Interbank Flows, Borrowing, and Investing》
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作者：
Aditya Maheshwari, Andrey Sarantsev
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最新提交年份：
2018
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英文摘要：
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets. Each private actor aims to maximize its expected terminal logarithmic utility. The central bank, in turn, aims to control the overall economy by means of an exponential utility function. We solve all stochastic optimal control problems explicitly. We are able to recreate occasions such as liquidity trap. We study distribution of the number of defaults (net worth of a private actor going below a certain threshold).
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中文摘要：
在我们的模型中，银行间现金流与（Carmona，Fouque，Sun，2013）相似但不一般的私人行为者以一定利率从外部经济中借款，由中央银行控制，并投资于风险资产。每个私有参与者的目标是最大化其预期的终端对数效用。反过来，央行的目标是通过指数效用函数控制整体经济。我们明确地解决了所有随机最优控制问题。我们能够重现流动性陷阱等情况。我们研究了违约数量的分布（私人行为者的净值低于某个阈值）。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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