BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Random Financial Networks and Locally Treelike Independence - Hurd
 \, TR (McMaster University)
DTSTART:20140827T084500Z
DTEND:20140827T091500Z
UID:TALK53892@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Exact results in percolation theory on random graphs rely on a
  property known as the "tree ansatz''\, which is known to be asymptoticall
 y true on the family on configuration graphs. More generally\, the tree an
 satz\, also called mean field theory\, can be used as the basis of approxi
 mations\, which as numerous authors have remarked\, can be surprisingly ac
 curate. The question arises whether the tree ansatz can be useful for unde
 rstanding financial systemic risk. In this talk\, I will review the concep
 ts underlying the tree ansatz\, and explore how it can be embedded and use
 d in models of financial contagion\, such as the Eisenberg-Noe model and i
 ts alternatives. Along the way\, I will propose definitions for "random fi
 nancial network'' (RFN) and "locally treelike independence'' (LTI)\, and e
 xplore these definitions' mathematical consequences. In the end I will com
 pare analytical approximations to Monte Carlo computations in some realist
 ic network cascade examples\, and show that there are indeed situations wh
 ere the LTI approximation is "surprisingly" accurate. This provides some e
 vidence that understanding of networks in other domains can help us in und
 erstanding financial networks. \n
LOCATION:Seminar Room 1\, Newton Institute
END:VEVENT
END:VCALENDAR