Interacting Particle Systems for Systemic Risk
Interacting Particle Systems for Systemic Risk
Interacting Particle Systems for Systemic Risk
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<strong>Systemic</strong> <strong>Risk</strong>: Motivation Stochastic Model Simulating <strong>Systemic</strong> Shocks Examples of Rare EventsWork in ProgressHave a framework <strong>for</strong> simulating dynamic defaults in an interactingnetwork.Understanding the relationships and mechanisms of rare eventsunlocks many interesting phenomena (a cascade of small defaultsvs. a single large event).Another analytic tool is the LLN scaling limit as N(0) → ∞(average out the noise from the defaults and births).THANK YOU!22Ludkovski<strong>Systemic</strong> <strong>Risk</strong>