Talk by T.R. Hurd on "Systemic Risk in Models of Financial Networks" to be held at 2 pm on Oct. 24, 2014 in room B 349
T. R. Hurd, Professor of Mathematics, Department of Mathematics and Statistics at McMaster University will give a talk on
Systemic Risk in Models of Financial Networks
on Friday October 24, 2:00 p.m. in room B 349 at the Department of Mathematics. All interested people are welcome.
Exact results in percolation theory on random graphs rely on a property known as the ''tree ansatz'', which is known to be asymptotically true on the family on configuration graphs. The question arises whether this result can be useful for understanding systemic risk in financial networks. In this talk, I will review the concepts underlying the tree ansatz, and explore how it can be embedded and used in models of financial contagion, such as the Eisenberg-Noe model and its alternatives. Along the way, I will propose definitions for ''random financial network'' (RFN) and ''locally treelike independence'' (LTI), and explore these definitions' mathematical consequences. In the end, comparison of analytical approximations to Monte Carlo computations in some realistic network cascade examples shows that there are indeed situations where the LTI approximation is "surprisingly" accurate.