Montag, 16. November 2020, 16:45 - 17:45 iCal
ISOR Colloquium
"Dynamic Default Contagion in interbank systems"
Speaker: Andreas Sojmark (Imperial College London)
! Due to the Covid-19 safety measures the talk will take place ONLINE ONLY !
ONLINE
Vortrag
In this talk we start by introducing a simple model for interbank default contagion in the vein of the seminal network models of Eisenberg--Noe (2001) and Rogers--Veraart (2013). The key feature, and main novelty, consists in combining stochastic dynamics with a simple but realistic balance sheet methodology for determining early defaults together with a Gai--Kapadia (2010) style contagion mechanism. After first developing the model for a finite number of banks, we present a natural way of passing to the mean field limit such that the network structure for interbank obligations is respected in a meaningful way. Thus, we provide a clear connection between the more classical network-based literature on systemic risk and the emerging literature on mean-field models more rooted in stochastic analysis.
To participate please join our ZOOM MEETING:
Meeting room opens at: Nov 16, 2020 04:45 PM Vienna
Meeting ID: 952 6003 1041
Password: Lep=85#1
Zur Webseite der Veranstaltung
Veranstalter
Institut für Statistik und Operations Research
Kontakt
Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631
sabine.sobotka-tompits@univie.ac.at
Erstellt am Montag, 16. November 2020, 09:51
Letzte Änderung am Mittwoch, 18. November 2020, 09:40