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Systemic Risk Modelling through SDEs in an Inhomogeneous Network

Date: 
Wednesday 15th October 2014 - 14:00 to 15:00
Venue: 
INI Seminar Room 2
Abstract: 
In this talk we discuss a multivariate Ornstein-Uhlenbeck model for interacting particles in an inhomogeneous network. Empirical studies and previous results suggest that such a model is well-suited to describe financial indicators of banks linked through interbanking lending. Under natural assumptions on the network structure, we prove, as the network size grows, a law of large number result that leads to a simpler limit model. The distinction between so-called core and periphery banks plays an important feature here. Further properties of the limit model are reported. This talk is based on joint work with Claudia Klüppelberg that is currently in progress and continues the work that she has presented at the INI on August 22nd.
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons