COOKIES: By using this website you agree that we can place Google Analytics Cookies on your device for performance monitoring. |

University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Systemic Risk Modelling through SDEs in an Inhomogeneous Network

## Systemic Risk Modelling through SDEs in an Inhomogeneous NetworkAdd to your list(s) Download to your calendar using vCal - Chong, C (Technische Universitt Mnchen)
- Wednesday 15 October 2014, 14:00-15:00
- Seminar Room 2, Newton Institute Gatehouse.
If you have a question about this talk, please contact Mustapha Amrani. Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches In this talk we discuss a multivariate Ornstein-Uhlenbeck model for interacting particles in an inhomogeneous network. Empirical studies and previous results suggest that such a model is well-suited to describe financial indicators of banks linked through interbanking lending. Under natural assumptions on the network structure, we prove, as the network size grows, a law of large number result that leads to a simpler limit model. The distinction between so-called core and periphery banks plays an important feature here. Further properties of the limit model are reported. This talk is based on joint work with Claudia Klppelberg that is currently in progress and continues the work that she has presented at the INI on August 22nd. This talk is part of the Isaac Newton Institute Seminar Series series. ## This talk is included in these lists:- All CMS events
- Featured lists
- INI info aggregator
- Isaac Newton Institute Seminar Series
- School of Physical Sciences
- Seminar Room 2, Newton Institute Gatehouse
- bld31
Note that ex-directory lists are not shown. |
## Other listsThe Faraday Institute for Science and Religion High Energy Physics Seminars Conference on the Birch and Swinnerton-Dyer conjecture Organic Chemistry Mathematics & Information in Cambridge Economics and Computer Science Talks## Other talksPropagation of Very Low Frequency Emissions from Lightning Science Makers: multispectral imaging with Raspberry Pi CGHR Practitioner Series: Andrea Coomber, JUSTICE MicroRNAs as circulating biomarkers in cancer Paracelsus' Chickens - Strange Tales from the History of Chemistry Energy landscape of multivariate time series data |