报告题目:Assessment and Mitigation of Systemic Risk in Financial System under Uncertainties

报告人：彭积明教授

报告时间：12：15-13：15

报告地点：博B505

论坛主题：Assessment and Mitigation of Systemic Risk in Financial

         System under Uncertainties

主讲嘉宾：休斯顿大学 彭积明教授

时间：5月25日（周四）中午12：15-13：15

地点： 博B505

Abstract: Since the financial crisis in 2007-2008, the assessment and control of systemic risk in a financial network has become a major concern in finance and economics.  In this talk, we study the vulnerability of a financial network based on the linear optimization model introduced by Eisenberg and Noe (2001), where the right hand side of the constraints is subject to market shock and only partial information regarding the liability matrix is revealed. We develop a new extended sensitivity analysis to characterize the conditions under which a bank is solvent, default or bankrupted, and estimate the probability of insolvency and the probability of bankruptcy under mild conditions on the market shock and the network structure. Particularly, we show that while an increment in the social asset may not able to improve the stability of the financial system, a larger asset inequality in the system will reduce its stability. Moreover, under certain assumption on the market shock and the network structure, we show that the least stable network can be attained at some monopoly network, which also has the highest probability of insolvency. The probability of bankruptcy in the network when all the nodes receive shocks is estimated. We also study the vulnerability of a well-balanced ring network and explore the domino effect of bankruptcy in it. Numerical experiments are presented to verify the theoretical conclusions.

嘉宾简介：

Dr. Jiming Peng is an associate professor in the department of industrial engineering, University of Houston.  Prior to this, he had worked in McMaster University in Canada and University of Illinois at Urbana-Champaign. His recent research interest lies mainly in optimization modeling, theoretical analysis and algorithm design with applications to healthcare, big data and finance.  He has published a research monograph by Princeton University Press and over sixty papers in major optimization journals and various CS/IEEE conference proceedings.  His research has been recognized by numerous awards from academic communities and supported by various funding agencies in Canada and USA.