Please use this identifier to cite or link to this item: http://hdl.handle.net/10773/24648
Title: Banking risk as an epidemiological model: an optimal control approach
Author: Kostylenko, Olena
Rodrigues, Helena Sofia
Torres, Delfim F. M.
Keywords: Banking risk
Contagion spread
Epidemic approach
Optimal control
Issue Date: 2018
Publisher: Springer
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 macroeconomy 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.
Peer review: yes
URI: http://hdl.handle.net/10773/24648
DOI: 10.1007/978-3-319-71583-4_12
ISBN: 978-3-319-71582-7
Publisher Version: http://dx.doi.org/10.1007/978-3-319-71583-4_12
Appears in Collections:SCG - Capítulo de livro

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