BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Control of interbank contagion under partial information - Minca\,
  A (Cornell University)
DTSTART:20140829T104500Z
DTEND:20140829T111500Z
UID:TALK53945@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-authors: Hamed Amini (EPFL)\, Agnes Sulem (INRIA)\n\nWe con
 sider a stylized core-periphery financial network in which links lead to t
 he creation of projects in the outside economy but make banks prone to con
 tagion risk. The controller seeks to maximize\, under budget constraints\,
  the value of the financial system defined as the total amount of external
  projects. Under partial information on interbank links\, revealed in conj
 unction with the spread of contagion\, the optimal control problem is show
 n to become a Markov decision problem. We find the optimal intervention po
 licy using dynamic programming.\n\nOur numerical results show that the val
 ue of the system depends on the connectivity in a non-monotonous way: it f
 irst increases with connectivity and then decreases with connectivity. The
  maximum value attained depends critically on the budget of the controller
  and the availability of an adapted intervention strategy. Moreover\, we s
 how that for highly connected systems\, it is optimal to increase the rate
  of intervention in the peripheral banks rather than in core banks.\n\n
LOCATION:Seminar Room 1\, Newton Institute
END:VEVENT
END:VCALENDAR