Interacting Particle Systems for Systemic Risk

Systemic Risk: Motivation Stochastic Model Simulating Systemic Shocks Examples of Rare EventsExamples of Rare EventsProbability of a very low number of banks (or very low total bankassets) at a fixed date T .Probability of a major shock in the next T periods.Relationship between low N(T) and low X(T).Example:P(min s≤50 N(s) < 80) ≃ 0.011P(min s≤50 N(s) < 70) ≃ 7.3·10 −5P(min s≤50 N(s) < 60) ≃ 1.2·10 −7 .18LudkovskiSystemic Risk