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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

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.