Probability Seminar: Ben Hambly (University of Oxford)- Particle systems and systemic risk.
| Dates: | 13 November 2024 |
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| Times: | 15:00 - 15:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Ben Hambly will speak at the Probability seminar.
Title:
Particle systems and systemic risk
Abstract:
Motivated by modelling systemic risk we consider some simple particle systems on the positive real line. The position of a particle represents the distance-to-default of a financial entity and default occurs when
they hit zero. We consider mechanisms for interaction between the particles including common noise and contagion. We take mean field limits of such particle systems and obtain descriptions in terms of (S)PDEs and McKean-Vlasov equations. We will show that there can be breakdown of solutions to such equations and that these capture some features of systemic risk.
Travel and Contact Information
Find event
Frank Adams 2
Alan Turing Building
Manchester
