Prof. N. Bertschinger (Goethe Universität Frankfurt a. M.)
Wednesday, December 4, 2019 - 10:00
Weierstraß-Institut
Mohrenstr. 39, 10117 Berlin, Raum: 405/406, 4. Etage
Forschungsseminar Mathematische Statistik
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing inspiration from the field of complex networks, these attempts are largely unaware of models and theories for credit risk of individual firms. Here, we note that recent network valuation models extend the seminal structural risk model of Merton (1974). Furthermore, we formally compute sensitivities to various risk factors -- commonly known as Greeks -- in a network context. In the end, we present some numerical illustrations and discuss possible implications for measuring systemic risk as well as insurance pricing.
submitted by chschnei (christine.schneider@wias-berlin.de, 030 20372574)