以下為演講者資訊, 時間及地點, 歡迎有興趣的老師及同學一同參與!

     演講者: 孫立憲 (國立中央大學統計研究所 副教授)

     演講題目: Systemic Risk illustrated: The Application of Stochastic Games

     演講內容: We discuss the application on systemic risk using stochastic games and Nash equilibria. In particular, we propose a mean field game model in order to illustrate the lending and borrowing behavior for financial systems. The system of interbank lending and borrowing based on the relative average of log-capitalization is given by the linear combination of the average within groups and the ensemble average and describe the evolution of log-capitalization by a system of coupled diffusions. We also share some interesting experience of discussion for the proposed model.

      演講時間及地點: 2023/5/15(星期一) 10:00~12:00 商學院2F13