Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

Siegel der Universität Augsburg

 

Oberseminar Wirtschaftsmathematik

 

Professor Dr. Nils Detering
University of California, Santa Barbara

 
spricht am
 
Dienstag, 18. Dezember 2018
 
um
 
15:45 Uhr
 
im
 
Raum 3008 (L1)
 
über das Thema:
 

»Managing Default Contagion in Inhomogeneous Financial Networks«

Abstract:
The aim of this presentation is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges monetary exposures between them. Our model captures the strong degree of heterogeneity observed in empirical data and the parameters can easily be fitted to real data sets. One of our main results allows us to determine the impact of local shocks, where initially some banks default, to the entire system and the wider economy. Here the impact is measured by some index of total systemic importance of all eventually defaulted institutions. As a central application, we characterize resilient and non-resilient cases. In particular, for the prominent case where the network has a degree sequence without second moment, we show that a small number of initially defaulted banks can trigger a substantial default cascade. Our results complement and extend significantly earlier findings derived in the configuration model where the existence of a second moment of the degree distribution is assumed. As a second main contribution, paralleling regulatory discussions, we determine minimal capital requirements for financial institutions sufficient to make the network resilient to small shocks. An appealing feature of these capital requirements is that they can be determined locally by each institution without knowing the complete network structure as they basically only depend on the institution's exposures to its counterparties. joint with Thilo Meyer-Brandis, Konstantinos Panagiotou and Daniel Ritter (LMU)

 

Hierzu ergeht herzliche Einladung.
Prof. Dr. Ralf Werner



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