Banking risk as an epidemiological model: an optimal control approach

Olena Kostylenko, Helena Sofia Rodrigues and Delfim F. M. Torres

Papers from arXiv.org

Abstract: The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of ordinary differential equations, simulating data from the largest European banks. Then, an optimal control problem is formulated in order to study the impact of a possible measure of the Central Bank in the economy. The proposed approach enables qualitative specifications of contagion in banking obtainment and an adequate analysis and prognosis within the financial sector development and macroeconomic as a whole. We show that our model describes well the reality of the largest European banks. Simulations were done using MATLAB and BOCOP optimal control solver, and the main results are taken for three distinct scenarios.

Date: 2017-07
New Economics Papers: this item is included in nep-ban
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Citations: View citations in EconPapers (3)

Published in Springer Proc. Math. Stat. 223 (2018), 165--176

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