Public Academic Lecture: Clearing in Financial Networks
Public Academic Lecture Series
Abstract: Clearing of financial system, i.e. of a network of interconnecting banks, is a procedure of simultaneous repaying debts to reduce their total volume. The vector whose components are repayments of each bank is called clearing vector. In simple models considered by Eisenberg and Noe (2001) and, independently, by Suzuki (2002), it was shown that the clearing to the minimal value of debts accordingly to natural rules can be formulated as a fixpoint problem. The existence of their solutions, i.e. of clearing vectors, is rather straightforward and can be obtained by a direct reference to the Knaster–Tarski or Brouwer theorems.
The uniqueness of clearing vectors is a more delicate problem which was solved by Eisenberg and Noe using a graph structure of the financial network. We discuss the modern state of art of the theory and, in particular, algorithmic aspects of solving clearing equations in relations with those arising in the theory of optimal stopping.
|When||12pm -2pm, Thursday, 9th November 2017|
|Where:||Macquarie City Campus, Level 24, 123 Pitt Street Sydney NSW 2000|
|RSVP:||Thursday, 2nd November 2017|
1pm-2pm Lunch provided
About the Speaker
Prof Kabanov is a principal organizer of the Bachelier colloquiums in
mathematical finance which is a major annual European conference in this field. He is a
member of Advisory Board of “Finance and Stochastics” (ABDC rank A), member of
Editorial Board of “Probability Theory and Its Applications” and other journals. Prof
Kabanov is a member of the Academy of Europe, winner of the prestigious “mega-grant” of
Russian Government 2013-2015 to develop quantitative finance discipline. His citation
records are Google Scholar: 4528 citations with h-index 35 (since 2012 h-index 21);
Mathscinet: cited 842 times by 648 authors; RePEc: rank 9 of authors in Russia. Prof
Kabanov has been one of the main researchers in the world driving cutting edge
development in financial mathematics.