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Seminar

26 SEP 2018 Seminar

Reconstruction of Financial Networks for Systemic Risk Assessment

Miss. Liu Shimiao (MPhil student)

Miss. Liu Shimiao (MPhil student)

Abstract:

Since the 2008 financial crisis, the systemic risk in financial networks has received great attention. When a shock hits one bank in a financial network, the failure of that bank may cause the distress of its creditors via interbank liabilities. In severe cases, the bankruptcy of one bank could lead to a cascade of failures. There are abundant studies about the systemic risk assessment in the existing literature. Most of them would be practically useful only if the financial network induced by the interbank liabilities is observable. However, in general, the data of interbank liabilities is not publicly available and the only available information is the aggregate interbank claims each bank in the financial network has.

My research aims to establish the framework for reconstructing the financial network from the observable aggregate interbank claims using the independent component analysis. Such a framework will then be applied in the empirical studies that assess the systemic risk in real world financial networks. The policy implication will be further drawn from the results of these studies. At the end, this research would provide a practically useful tool for systemic risk assessment.

Venue

HW8-28

Speakers

Miss. Liu Shimiao

Date

September 26, 2018 (Wednesday)

Time

9:30 am - 10:30 am

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