Event Date:
Monday, April 23, 2018 - 3:30pm to 4:30pm
Event Location:
- Sobel Seminar Room
Related Link:
TItle: Dynamic Contagion In A Banking System With Births And Defaults
Abstract: We consider a model of a banking system, with capitals of banks modeled as stochastic processes. New banks can emerge at random moments, and banks can also default at random times, with contagion effects on other banks. We study properties of such systems: existence and uniqueness, long-term stability, large systems limit.
April 13, 2018 - 8:05am