BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Memento EPFL//
BEGIN:VEVENT
SUMMARY:Systemic risk through contagion in a core-periphery structured ban
 king network
DTSTART:20140915T120000
DTEND:20140915T130000
DTSTAMP:20260407T105603Z
UID:2607e037e905a0f6b05d387a884b7eead555487789aae86845e6f7ab
CATEGORIES:Conferences - Seminars
DESCRIPTION:Claudia KLÜPPELBERG (Technische Universität München)\nWe co
 ntribute to the understanding of how systemic risk arises in a network of 
 credit-interlinked agents. Motivated by empirical studies we formulate a n
 etwork model which\, despite its simplicity\, depicts the nature of interb
 ank markets better than a symmetric model. The components of a vector Orns
 tein-Uhlenbeck process living on the nodes of the network describe the fin
 ancial robustnesses of the agents. For this system\, we prove a LLN for gr
 owing network size leading to a propagation of chaos result. We state prop
 erties\, which arise from such a structure\, and examine the effect of asy
 mmetry on several risk management issues and the possibility of contagion.
 \nThis is joint work with Oliver Kley and Lukas Reichel.
LOCATION:UNIL\, Extranef\, room 125 https://planete.unil.ch/plan/?local=EX
 T-125
STATUS:CONFIRMED
END:VEVENT
END:VCALENDAR