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Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time.
Order Book Queue Hawkes-Markovian Modeling
To capture the stimulating effects between multiple types of order book events, we use the multivariate Hawkes process to model the self- and mutually-exciting event arrivals.
Optimal Group Size in Microlending
Microlending, where a bank lends to a small group of people without credit histories, began with the Grameen Bank in Bangladesh, and is widely seen as the creation of Muhammad Yunus, who received the Nobel Peace Prize in recognition of his largely successful efforts.
