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Geometry of Defaults

Date: 
Thursday 18th December 2014 - 15:30 to 16:15
Venue: 
INI Seminar Room 1
Abstract: 
Co-author: Henry K. Schenck (University of Illinois at Urbana-Champaign)

We discuss some geometric considerations of defaults in networks of obligations. In particular, we use the clearing policies of Eisenberg and Noe and some ideas from geometry to compare counterparties.

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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons