The Experts below are selected from a list of 240 Experts worldwide ranked by ideXlab platform

Joseph E Stiglitz - One of the best experts on this subject based on the ideXlab platform.

  • optimal bailouts and the doom loop with a Financial Network
    National Bureau of Economic Research, 2020
    Co-Authors: Agostino Capponi, Felix C Corell, Joseph E Stiglitz
    Abstract:

    Banks usually hold large amounts of domestic public debt which makes them vulnerable to their own sovereign’s default risk. At the same time, governments often resort to costly public bailouts when their domestic banking sector is in trouble. We investigate how the interbank Network structure and the distribution of sovereign debt holdings jointly affect the optimal bailout policy in the presence of this "doom loop". Rescuing banks with high domestic sovereign exposure is optimal if these banks are sufficiently central in the Network, even though that requires larger bailout expenditures than rescuing low-exposure banks. Our findings imply that highly central banks can use exposure to their own government as a strategic tool to increase the likelihood of being bailed out. Our model thus illustrates how the "doom loop" exacerbates the "too interconnected to fail" problem in banking.

  • optimal bailouts and the doom loop with a Financial Network
    Social Science Research Network, 2020
    Co-Authors: Agostino Capponi, Felix C Corell, Joseph E Stiglitz
    Abstract:

    Banks usually hold large amounts of domestic public debt which makes them vulnerable to their own sovereign’s default risk. At the same time, governments often resort to costly public bailouts when their domestic banking sector is in trouble. We investigate how the interbank Network structure and the distribution of sovereign debt holdings jointly affect the optimal bailout policy in the presence of this "doom loop". Rescuing banks with high domestic sovereign exposure is optimal if these banks are sufficiently central in the Network, even though that requires larger bailout expenditures than rescuing low-exposure banks. Our findings imply that highly central banks can use exposure to their own government as a strategic tool to increase the likelihood of being bailed out. Our model thus illustrates how the "doom loop" exacerbates the "too interconnected to fail" problem in banking. Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.

  • liaisons dangereuses increasing connectivity risk sharing and systemic risk
    Journal of Economic Dynamics and Control, 2012
    Co-Authors: Stefano Battiston, Domenico Delli Gatti, Mauro Gallegati, Bruce C Greenwald, Joseph E Stiglitz
    Abstract:

    The recent Financial crisis poses the challenge to understand how systemic risk arises endogenously and what architecture can make the Financial system more resilient to global crises. This paper shows that a Financial Network can be most resilient for intermediate levels of risk diversification, and not when this is maximal, as generally thought so far. This finding holds in the presence of the Financial accelerator, i.e. when negative variations in the Financial robustness of an agent tend to persist in time because they have adverse effects on the agent's subsequent performance through the reaction of the agent's counterparties.

  • liaisons dangereuses increasing connectivity risk sharing and systemic risk
    Journal of Economic Dynamics and Control, 2012
    Co-Authors: Stefano Battiston, Domenico Delli Gatti, Mauro Gallegati, Bruce C Greenwald, Joseph E Stiglitz
    Abstract:

    The recent Financial crisis poses the challenge to understand how systemic risk arises endogenously and what architecture can make the Financial system more resilient to global crises. This paper shows that a Financial Network can be most resilient for intermediate levels of risk diversification, and not when this is maximal, as generally thought so far. This finding holds in the presence of the Financial accelerator, i.e. when negative variations in the Financial robustness of an agent tend to persist in time because they have adverse effects on the agent’s subsequent performance through the reaction of the agent’s counterparties. & 2012 Elsevier B.V. All rights reserved.

Roger Wattenhofer - One of the best experts on this subject based on the ideXlab platform.

  • Network aware strategies in Financial systems
    International Colloquium on Automata Languages and Programming, 2020
    Co-Authors: Pal Andras Papp, Roger Wattenhofer
    Abstract:

    We study the incentives of banks in a Financial Network, where the Network consists of debt contracts and credit default swaps (CDSs) between banks. One of the most important questions in such a system is the problem of deciding which of the banks are in default, and how much of their liabilities these banks can pay. We study the payoff and preferences of the banks in the different solutions to this problem. We also introduce a more refined model which allows assigning priorities to payment obligations; this provides a more expressive and realistic model of real-life Financial systems, while it always ensures the existence of a solution. The main focus of the paper is an analysis of the actions that a single bank can execute in a Financial system in order to influence the outcome to its advantage. We show that removing an incoming debt, or donating funds to another bank can result in a single new solution that is strictly more favorable to the acting bank. We also show that increasing the bank's external funds or modifying the priorities of outgoing payments cannot introduce a more favorable new solution into the system, but may allow the bank to remove some unfavorable solutions, or to increase its recovery rate. Finally, we show how the actions of two banks in a simple Financial system can result in classical game theoretic situations like the prisoner's dilemma or the dollar auction, demonstrating the wide expressive capability of the Financial system model.

Michael Waidner - One of the best experts on this subject based on the ideXlab platform.

  • design implementation and deployment of the ikp secure electronic payment system
    IEEE Journal on Selected Areas in Communications, 2000
    Co-Authors: Mihir Bellare, Juan A Garay, R Hauser, Amir Herzberg, Hugo Krawczyk, Michael Steiner, Gene Tsudik, E Van Herreweghen, Michael Waidner
    Abstract:

    This paper discusses the design, implementation, and deployment of a secure and practical payment system for electronic commerce on the Internet. The system is based on the iKP family of protocols-(i=1,2,3)-developed at IBM Research. The protocols implement credit card-based transactions between buyers and merchants while the existing Financial Network is used for payment clearing and authorization. The protocols are extensible and can be readily applied to other account-based payment models, such as debit cards. They are based on careful and minimal use of public-key cryptography, and can be implemented in either software or hardware. Individual protocols differ in both complexity and degree of security. In addition to being both a precursor and a direct ancestor of the well-known SET standard, iKP-based payment systems have been in continuous operation on the Internet since mid-1996. This longevity-as well as the security and relative simplicity of the underlying mechanisms-makes the iKP experience unique. For this reason, this paper also reports on, and addresses, a number of practical issues arising in the course of implementation and real-world deployment of a secure payment system.

Tae Kyun Lee - One of the best experts on this subject based on the ideXlab platform.

  • global stock market investment strategies based on Financial Network indicators using machine learning techniques
    Expert Systems With Applications, 2019
    Co-Authors: Tae Kyun Lee, Joon Hyung Cho, Deuk Sin Kwon, So Young Sohn
    Abstract:

    Abstract This study presents Financial Network indicators that can be applied to global stock market investment strategies. We propose to design both undirected and directed volatility Networks of global stock market based on simple pair-wise correlation and system-wide connectedness of national stock indices using a vector auto-regressive model. We examine the effect and usefulness of Network indicators by applying them as inputs for determining strategies via several machine learning approaches (logistic regression, support vector machine, and random forest). Two strategies are constructed considering stock price indices: (1) global stock market prediction strategy and (2) regional allocation strategy for developed market/emerging market. According to the results of the performance analysis, Network indicators were proven to be important supplementary indicators in predicting global stock market and regional relative directions (up/down). In particular, these indicators were more effective during market crisis periods. This study is the first attempt to construct strategies for global portfolio management using Financial Network indicators and to suggest how Network indicators can be used in practical fields.

Juan A Garay - One of the best experts on this subject based on the ideXlab platform.

  • design implementation and deployment of the ikp secure electronic payment system
    IEEE Journal on Selected Areas in Communications, 2000
    Co-Authors: Mihir Bellare, Juan A Garay, R Hauser, Amir Herzberg, Hugo Krawczyk, Michael Steiner, Gene Tsudik, E Van Herreweghen, Michael Waidner
    Abstract:

    This paper discusses the design, implementation, and deployment of a secure and practical payment system for electronic commerce on the Internet. The system is based on the iKP family of protocols-(i=1,2,3)-developed at IBM Research. The protocols implement credit card-based transactions between buyers and merchants while the existing Financial Network is used for payment clearing and authorization. The protocols are extensible and can be readily applied to other account-based payment models, such as debit cards. They are based on careful and minimal use of public-key cryptography, and can be implemented in either software or hardware. Individual protocols differ in both complexity and degree of security. In addition to being both a precursor and a direct ancestor of the well-known SET standard, iKP-based payment systems have been in continuous operation on the Internet since mid-1996. This longevity-as well as the security and relative simplicity of the underlying mechanisms-makes the iKP experience unique. For this reason, this paper also reports on, and addresses, a number of practical issues arising in the course of implementation and real-world deployment of a secure payment system.

  • ikp a family of secure electronic payment protocols
    WOEC'95 Proceedings of the 1st conference on USENIX Workshop on Electronic Commerce - Volume 1, 1995
    Co-Authors: Mihi Ellare, Juan A Garay, Hugo Krawczyk, Gene Tsudik, Ralf Hause, Ami Herzberg, Michael Steine, Michael Waidne
    Abstract:

    This paper proposes a family of protocols -- iKP (i=1,2,3) - for secure electronic payments over the Internet. The protocols implement credit card-based transactions between the customer and the merchant while using the existing Financial Network for clearing and authorization. The protocols can be extended to apply to other payment models, such as debit cards and electronic checks. They are based on public-key cryptography and can be implemented in either software or hardware. Individual protocols differ in key management complexity and degree of security. It is intended that their deployment be gradual and incremental. The iKP protocols are presented herein with the intention to serve as a starting point for eventual standards on secure electronic payment.