Systemic risk with jump‐diffusion processes
邱奕泰先生Department of Statistics and Applied Probability, UC Santa Barbara, USA 上午 9:30–11:00 鴻經館 M328室摘要：
We illustrate what a systemic risk is by proposing an inter‐bank borrowing and lending model using a stochastic flocking system with jump‐diffusion processes. We use the Laplace transform approach and the inversion formula instead to calculate the systemic risk. We then integrate a game feature with jumps where each bank controls its rate of borrowing/lending to a central bank.