SA307, Science Building I, NYCU
(交通大學科學一館 307室)
Systemic Risk and Mean Field Games: Grouping Systems and A Central Bank
Li-Hsien Leo Sun (Graduate Institute of Statistics, National Central University)
We consider heterogeneous grouping cases where parameters are identical within their own groups but different between groups. Given this heterogeneity, a central bank has to keep deposits or provide extra cash flow instead of acting as a clearing house and systemic risk happens in the more complicated manner than the homogeneous case. In addition, in order to prevent systemic risk, a central bank must take control of the ensemble average.