Uncertain Linear Optimization, Wealth Inequality and Systemic Risk in Financial System(不确定线性优化,财富不平等和金融网络中的系统性风险)

讲座名称: Uncertain Linear Optimization, Wealth Inequality and Systemic Risk in Financial System(不确定线性优化,财富不平等和金融网络中的系统性风险)
讲座时间 2017-05-22
讲座地点 西交大财经校区教学楼八楼学术报告厅
讲座人 彭积明
讲座内容
报告题目:Uncertain Linear Optimization, Wealth Inequality and Systemic Risk in
Financial System(不确定线性优化,财富不平等和金融网络中的系统性风险)
报告时间:2017年5月22日(星期一)下午2:30-5:00
报告地点: 西交大财经校区教学楼八楼学术报告厅
报告人:彭积明
报告摘要:
Since the financial crisis in 2007-2008, the assessment and control of systemic risk in a financial network has become a major concern in finance and economics. In this talk, we study the vulnerability of a financial network based on the linear optimization model introduced by Eisenberg and Noe (2001), where the right hand side of the constraints is subject to market shock and only partial information regarding the liability matrix is revealed. We develop a new extended sensitivity analysis to characterize the conditions under which a bank is solvent, default or bankrupted, and estimate the probability of insolvency and the probability of bankruptcy under mild conditions on the market shock and the network structure. Particularly, we show that while an increment in the social asset may not able to improve the stability of the financial system, a larger asset inequality in the system will reduce its stability. Moreover, under certain assumption on the market shock and the network structure, we show that the least stable network can be attained at some monopoly network, which also has the highest probability of insolvency. The probability of bankruptcy in the network when all the nodes receive shocks is estimated. We also study the vulnerability of a well-balanced ring network and explore the domino effect of bankruptcy in it. Numerical experiments are presented to verify the theoretical conclusions.
 

 

讲座人介绍
报告人简介:
Biography: Jiming Peng is an associate professor in the department of industrial engineering, University of Houston. Prior to this, he had worked in McMaster University in Canada and University of Illinois at Urbana-Champaign. His recent research interest lies mainly in optimization modeling, theoretical analysis and algorithm design with applications to healthcare, big data and finance. He has published a research monograph by Princeton University Press and over sixty papers in major optimization journals and various CS/IEEE conference proceedings. His research has been recognized by numerous awards from academic communities and supported by various funding agencies in Canada and USA.
简历: 彭积明博士是休士顿大学工业工程系的副教授。在此之前,他曾在加拿大McMaster大学和伊利诺伊大学香槟分校工作。他的最近研究兴趣主要在优化建模, 理论分析和算法设计, 以及在医疗保健,大数据和金融工程的应用。他已发表了一本学术专著(普林斯顿大学出版社) 和六十多篇研究论文。他的研究工作受到学术界的多此奖励, 和加拿大和美国自然科学基金会的支持。

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