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Seminar第1667期 Assessing systemic risk in financial networks under incomplete information

创建日期 2018/6/12 福平   浏览次数  92 返回    
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报告主题:Assessing systemic risk in financial networks under incomplete information
报告人:Jiming Peng 副教授 (美国休斯顿大学)
报告时间:2018年6月14日(周四)16:00
报告地点:校本部G507
邀请人:白延琴教授

报告摘要:Since the financial crisis in 2007-2008, the assessment and control of systemic risk has become one of the most important topics in economics and finance. In this talk, we introduce a new optimization model to assess the risk in a financial network for which only incomplete information is available. We develop an integrated approach that combine classical optimization techniques and introduce new optimization techniques to identify the worst-case scenario of the network structure. Numerical experiments demonstrate that the risk in the identified worst-case scenario is much more significant than what have been estimated in the literature.


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