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 EventsModeling ApproachFocus on the dynamic evolution of the whole network.Think of banks as particles or individuals that interact with otherbanks.Banks are born, grow over time, and eventually die (i.e. default).These mechanisms, especially default, involve mean-field-typeinteractions that create inter-dependencies.3Ludkovski<strong>Systemic</strong> <strong>Risk</strong>
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