Interacting Particle Systems for Systemic Risk
Interacting Particle Systems for Systemic Risk
Interacting Particle Systems for Systemic Risk
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
<strong>Systemic</strong> <strong>Risk</strong>: Motivation Stochastic Model Simulating <strong>Systemic</strong> 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 .18Ludkovski<strong>Systemic</strong> <strong>Risk</strong>