主题：Financial Network and
Systemic Risk - A Dynamic Model
（金融网络与系统性风险 - 动态模型）
主讲人：王坦，上海交通大学上海高级金融德州扑克大小
金融学教授
日期：2016年10月12日（周三）
时间：下午2:30-4:00
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
We develop a dynamic
model of banking network to study the systemic risk of a financial system
arising from its network interconnections. We build on Eisenberg and Noe
(2001). The dynamic model developed allows us to study the dynamics of bank
defaults. In contrast to the literature, we show that while the possibility of
contagion is determined by interconnectedness of the financial network, whether
a financial crisis can occur depends on the capital of the banks in the system.
We derive an index that forecasts the occurrence of a financial crisis. We then
provide an intuitive measure of systemic risk. To illustrate the potential
usefulness of our model, we provide an analysis of the system of twenty two
German banks. We show how many of the banks are fundamentally weak, where the
contagion effect may arise from, how strong the contagion effect is, and how
significant the systemic risk is.
主讲人简介:
Tan Wang is currently
Professor of Finance and Deputy Dean for faculty and research at Shanghai
Advanced Institute of Finance in Shanghai Jiao Tong
University. Prior to joining SAIF, he was a Peter Lusztig Professor of Finance at
University of British Columbia from 2005 to 2014, a visiting scholar at
International Monetary Fund in 2005, and Federal Reserve Bank of Cleveland in
2003. He received his Ph.D. in Economics from University of Toronto in 1992. Professor
Wang’s research interests are in the areas of asset pricing, decision making
under risk and uncertainty, systemic risk in banking, investment and risk
management. He has published extensively in leading finance journals including Review of Financial Studies, Journal of Finance, Management Science, Journal
of Economic Theory, Mathematical
Finance and Econometrica. Most
notably, Professor Wang’s research paper, “Privatization and Risk Sharing:
Evidence from the Split Share Structure Reform in China”, published in The
Review of Financial Studies has just recently been awarded Sun Yefang Financial
Innovation Awards.
