Particle systems and systemic risk
Systemic risk in the banking system is the risk that small losses and defaults can escalate through endogenous effects to cause an event affecting large parts of the financial sector. We will consider some simple particle system models for the interactions between banks and show how this leads to stochastic McKean-Vlasov equations describing the whole system. The systemic risk can be captured through a loss function and we will show that this can have unexpected behaviour in different models.
Date:
14 January 2019, 12:00 (Monday, 1st week, Hilary 2019)
Venue:
Mathematical Institute, Woodstock Road OX2 6GG
Speaker:
Ben Hambly (University of Oxford)
Organising department:
Department of Statistics
Organisers:
Christina Goldschmidt (Department of Statistics, University of Oxford),
James Martin (Department of Statistics, University of Oxford)
Part of:
Probability seminar
Booking required?:
Not required
Audience:
Public
Editor:
Christina Goldschmidt
