Opaque bank assets and optimal equity capital

DOI10.1016/j.jedc.2019.01.005zbMath1411.91640OpenAlexW3123188656MaRDI QIDQ1734564

Min Dai, Shan Huang, Jussi Keppo

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.01.005

zbMATH Keywords

investmentdividendsbank capitalbanking regulationearnings smoothing

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial science and mathematical finance (91G99)

Related Items (3)

Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors ⋮ A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds ⋮ Variance Regularization in Sequential Bayesian Optimization

Cites Work

• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Unintended consequences of the market risk requirement in banking regulation
• The demand for information: More heat than light
• A unified treatment of dividend payment problems under fixed cost and implementation delays
• Impulse control problem on finite horizon with execution delay
• Firm behaviour under the threat of liquidation
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Learning and Information Aggregation in an Exit Game
• Weak Dynamic Programming Principle for Viscosity Solutions
• OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• The Impact of Uncertainty Shocks
• A Class of Singular Control Problems and the Smooth Fit Principle
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• A Variational Approach to Contracting under Imperfect Observations
• Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Arbitrage Theory in Continuous Time
• The impact of delivery lags on irreversible investment under uncertainty

This page was built for publication: Opaque bank assets and optimal equity capital