Systemic risk through contagion in a core-periphery structured banking network
Event details
| Date | 15.09.2014 |
| Hour | 12:00 › 13:00 |
| Speaker | Claudia KLÜPPELBERG (Technische Universität München) |
| Location | |
| Category | Conferences - Seminars |
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets better than a symmetric model. The components of a vector Ornstein-Uhlenbeck process living on the nodes of the network describe the financial robustnesses of the agents. For this system, we prove a LLN for growing network size leading to a propagation of chaos result. We state properties, which arise from such a structure, and examine the effect of asymmetry on several risk management issues and the possibility of contagion.
This is joint work with Oliver Kley and Lukas Reichel.
This is joint work with Oliver Kley and Lukas Reichel.
Links
Practical information
- Informed public
- Free
Organizer
- Prof. Damir Filipovic, with the support of the EPFL Center on Risk Analysis and Governance (CRAG) http://crag.epfl.ch