Interacting Particle Systems for Systemic Risk

Systemic Risk: Motivation Stochastic Model Simulating Systemic Shocks Examples of Rare EventsSystemic Risk in Banking NetworksBanking networks pose the most significant source of systemicrisk due to their high degree of interconnections and impact on theeconomyThese networks are highly complex, continuously evolve over timeand are subject to many ongoing shocksStochastic modeling of this problem remains open with multipleproposed approachesWe propose a new view using methods of Interacting ParticleSystemsA flexible framework that is convenient for large-scale qualitativeanalysis while allowing for much granularity2LudkovskiSystemic Risk