Series of Dept Research Seminars - "Systemic Risk: a Network Perspective" (Date: 26 January 2016)
Our Speaker Mr. Peng-chu CHEN will give a seminar on "Systemic Risk: a Network Perspective". All are welcome to this event.
Complex networks pervade numerous different fields of modern sciences. These fields include technology, such as power grids, transportation and supply chain networks; finance, such as the interbank trade network; and sociology, such as crime and education networks. Systemic risk quantifies the risk that distress or failures of critical nodes in the network destabilize the overall system. My research focuses on the systemic risk and contagion in financial networks.
The objective of my study is to develop a majorization-based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, I quantify liability concentration by applying the majorization order to the liability matrix that captures the interconnectedness of banks in a financial network. I develop notions of lowly and highly capitalized networks to bring out the qualitatively different implications of liability concentration on the system’s loss profile. I illustrate how to identify networks that are lowly or highly capitalized, and make connections to interbank structures identified by empirical research, such as perfect and imperfect tiering schemes. An empirical analysis of the network formed by the banking sectors of eight representative European countries suggests that the system is either highly capitalized or close to it, persistently over time. This empirical finding, along with the majorization results, supports regulatory policies aiming at limiting the size of gross exposures to individual counterparties.
26 January 2016 (Tuesday)
|About the Speaker||
Peng-Chu Chen is currently a Ph.D. candidate in the School of Industrial Engineering at Purdue University.
His research interests are in performance analysis of complex network infrastructures. His primary objective is to develop a new class of performance metrics and novel tools for simultaneous comparison of networks along multiple measures of performance. The main applications of his research are in systemic risk and contagion in financial networks. His research contributes to the understanding of the financial contagion mechanisms and the impact of network topology on systemic losses, and to assess the impact of prescriptive policies for systemic risk. His research has been published in top tier journals including Operations Research and Journal of Economic Dynamics and Control.
Peng-Chu received his Master’s degree in Transportation Engineering from University of California, Berkeley in 2003 and his Bachelor’s degree in Civil Engineering from National Taiwan University in 2001. Before studying in Purdue University, he was a senior flight network engineer with the FedEx Express.