Control of interbank contagion under partial information
41 mins 33 secs,
601.35 MB,
MPEG-4 Video
640x360,
29.97 fps,
44100 Hz,
1.92 Mbits/sec
Share this media item:
Embed this media item:
Embed this media item:
About this item
| Description: |
Minca, A (Cornell University)
Friday 29 August 2014, 11:45-12:15 |
|---|
| Created: | 2014-08-29 16:19 |
|---|---|
| Collection: | Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches |
| Publisher: | Isaac Newton Institute |
| Copyright: | Minca, A |
| Language: | eng (English) |
| Distribution: |
World
(downloadable)
|
| Explicit content: | No |
| Aspect Ratio: | 16:9 |
| Screencast: | No |
| Bumper: | UCS Default |
| Trailer: | UCS Default |
| Abstract: | Co-authors: Hamed Amini (EPFL), Agnes Sulem (INRIA)
We consider a stylized core-periphery financial network in which links lead to the creation of projects in the outside economy but make banks prone to contagion risk. The controller seeks to maximize, under budget constraints, the value of the financial system defined as the total amount of external projects. Under partial information on interbank links, revealed in conjunction with the spread of contagion, the optimal control problem is shown to become a Markov decision problem. We find the optimal intervention policy using dynamic programming. Our numerical results show that the value of the system depends on the connectivity in a non-monotonous way: it first increases with connectivity and then decreases with connectivity. The maximum value attained depends critically on the budget of the controller and the availability of an adapted intervention strategy. Moreover, we show that for highly connected systems, it is optimal to increase the rate of intervention in the peripheral banks rather than in core banks. |
|---|---|
Available Formats
| Format | Quality | Bitrate | Size | |||
|---|---|---|---|---|---|---|
| MPEG-4 Video * | 640x360 | 1.92 Mbits/sec | 601.35 MB | View | Download | |
| WebM | 640x360 | 849.95 kbits/sec | 258.66 MB | View | Download | |
| iPod Video | 480x270 | 522.31 kbits/sec | 158.95 MB | View | Download | |
| MP3 | 44100 Hz | 249.77 kbits/sec | 76.07 MB | Listen | Download | |
| Auto | (Allows browser to choose a format it supports) | |||||