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SUMMARY:Systemic Risk Modelling through SDEs in an Inhomogeneous Network -
  Chong\, C (Technische Universitt Mnchen)
DTSTART:20141015T130000Z
DTEND:20141015T140000Z
UID:TALK55558@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:In this talk we discuss a multivariate Ornstein-Uhlenbeck mode
 l for interacting particles in an inhomogeneous network. Empirical studies
  and previous results suggest that such a model is well-suited to describe
  financial indicators of banks linked through interbanking lending. Under 
 natural assumptions on the network structure\, we prove\, as the network s
 ize grows\, a law of large number result that leads to a simpler limit mod
 el. The distinction between so-called core and periphery banks plays an im
 portant feature here. Further properties of the limit model are reported. 
 This talk is based on joint work with Claudia Klppelberg that is currently
  in progress and continues the work that she has presented at the INI on A
 ugust 22nd.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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