Assessment and Control of Systemic Risk under Uncertain Liabilities(在不确定性负债下系统风险的评估与控制 )

讲座名称: Assessment and Control of Systemic Risk under Uncertain Liabilities(在不确定性负债下系统风险的评估与控制 )
讲座时间 2017-05-23
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:Assessment and Control of Systemic Risk under Uncertain Liabilities(在不确定性负债下系统风险的评估与控制 )
报告时间:2017年5月23日(星期二)上午9:00-11:00
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:
The assessment and mitigation of systemic risk in a financial network has been a major concern since the financial crisis in 2007-2008. One main challenge in assessing the systemic risk lies in the unavailability of the complete information with respect to the underlying financial network. In this work, we first consider how to assess the systemic risk based on the linear optimization model introduced by Eisenberg and Noe (2001), where only partial information regarding the liability matrix is revealed. We develop an algorithm to identify the most vulnerable structure in the network. Numerical experiments illustrate that the contagious risk in the identified vulnerable network is much more significant than what underestimated in the current literature. Secondly, we develop an algorithm to identify the most stable network structure, and use it to develop a strategy for systemic risk mitigation. We evaluate the performance of the new strategy on a multi-period risk mitigation problem in which both the asset vector and the liability matrix are assumed to be uncertain. Numerical experiment shows that compared with other strategies in the literature, the proposed strategy reaches the minimal bailout cost under a full bailout policy.
 

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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