Diffusion Models for Systemic Risk 1
Speaker: Jean-Pierre Fouque
Date: Mon, Jul 21, 2014
Location: PIMS, University of British Columbia
Conference: The Economics and Mathematics of Systemic Risk and Financial Networks
Subject: Mathematics, Econometrics, Applied Mathematics
Class: Scientific
Date: Mon, Jul 21, 2014
Location: PIMS, University of British Columbia
Conference: The Economics and Mathematics of Systemic Risk and Financial Networks
Subject: Mathematics, Econometrics, Applied Mathematics
Class: Scientific
Abstract:
We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will
be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via
large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the
Mean Field Game approach.
