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.