Geometry of Defaults

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• Sowers, R (University of Illinois at Urbana-Champaign)
• Thursday 18 December 2014, 15:30-16:15
• Seminar Room 1, Newton Institute.

If you have a question about this talk, please contact Mustapha Amrani.

Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches

Co-author: Henry K. Schenck (University of Illinois at Urbana-Champaign)

We discuss some geometric considerations of defaults in networks of obligations. In particular, we use the clearing policies of Eisenberg and Noe and some ideas from geometry to compare counterparties.

This talk is part of the Isaac Newton Institute Seminar Series series.

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