Risk Management

• Author(s) / Creator(s)

  • Cadenillas, Abel

• SSHRC Awarded IG 2017: The 2007-2009 financial crises, government debt crises in USA and EU have motivated investigation into the following six topics:
  1) optimal investment, liability ratio and dividend policies when the external risk is negatively correlated
  with returns in the financial market;
  2) optimal consumption-investment policies under risk constraints;
  3) optimal debt ceiling for a country facing a debt crisis (equivalently, optimal ceiling for government
  debt for a country facing a debt crisis);
  4) optimal strategy to rescue a country facing a debt crisis (similarly, optimal strategy to rescue a
  financial institution facing a debt crisis);
  5) optimal government debt portfolio; and
  6) optimal government stabilization fund management

  My previous experience in developing and applying the theory of stochastic control will assist me to solve all these problems. Research results will be useful to reduce the chances of future financial crises, future government debt crises and to mitigate their negative effects.

• Date created

  2016-10-14

• Subjects / Keywords

  • Methods, Quantitative
  • Risk Management
  • Insight Grant
  • 2017
  • Greece
  • Stochastic Control
  • Methods, Mathematical
  • Government Debt
  • Dividend Policy
  • Successful SSHRC
  • IG
  • Insurance
  • North America
  • Liability Ratio
  • Risk Constraints
  • Germany
  • Switzerland
  • Operations Research
  • Regime Switching
  • Mathematical and Quantitative Methods
  • Banking
  • Europe
  • Mathematics
  • Economics
  • Investment
  • Canada
  • United States
  • Financial and Monetary Systems
  • Management Sciences
  • Monetary Fund
  • Financial Crises
  • Finance
  • Debt, Government
  • Administrative Studies
  • 21st century
  • Europe
  • Canada
  • Germany
  • Switzerland
  • Greece
  • United States

• Type of Item

  Research Material

• DOI

  https://doi.org/10.7939/R3GH9BN2D

• License

  © Cadenillas, Abel. All rights reserved other than by permission. This document embargoed to those without UAlberta CCID until 2025.