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Math Colloquium
Andrey Sarantsev
Univ. of California, Santa Barbara
Title: Dynamic Contagion in a Banking System with Births and Defaults

Abstract: We consider a model of a banking system, with capitals of banks modeled as stochastic processes. New banks can emerge at random moments, and banks can also default at random times, with contagion effects on other banks. We study properties of such systems: existence and uniqueness, long-term stability, large systems limit.

Date: Friday, January 26, 2018
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Bohman
Note: Refreshments at 4:00 pm, Wean Hall 6220.