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SUMMARY:Systemic risk through contagion in a core-periphery structured ban
 king network - Kluppelberg\, C (Technische Universitt Mnchen)
DTSTART:20140822T103000Z
DTEND:20140822T111500Z
UID:TALK53873@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION: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 homogeneous model. The componen
 ts of a vector Ornstein-Uhlenbeck process living on the vertices of the ne
 twork 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 exa
 mine the effect of inhomogeneity on several risk management issues and the
  possibility of contagion.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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