Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks-Reference-Cited by-同舟云学术

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Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks

Published:2023-05-31 Issue:2 Volume:14 Page:598-643
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Lillo Fabrizio¹^ORCID,Livieri Giulia²^ORCID,Marmi Stefano³,Solomko Anton⁴,Vaienti Sandro⁵

Affiliation:

1. Dipartimento di Matematica, Università di Bologna, Bologna, 40126, and Scuola Normale Superiore, Pisa, 56127, Italy.

2. The London School of Economics and Political Science, London, United Kingdom.

3. Scuola Normale Superiore, Pisa, 56127, Italy.

4. Envelop Risk, Bristol, UK.

5. Aix Marseille Université, Université de Toulon, CNRS, CPT, 13009 Marseille, France.

Funder

Centro di Ricerca Matematica Ennio De Giorgi, Scuola Normale Superiore

UniCredit and Universities Foundation

Centre National de la Recherche Scientifique

H2020 Research Infrastructures

Istituto Nazionale di Alta Matematica

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Reference64 articles.

1. Banks’ Financial Reporting and Financial System Stability

2. Liquidity and leverage

3. Procyclical Leverage and Value-at-Risk

4. Annealed and quenched limit theorems for random expanding dynamical systems

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1. Unimodal Maps Perturbed by Heteroscedastic Noise: An Application to a Financial Systems;Journal of Statistical Physics;2023-10-04

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