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2015 NCTS / CMMSC Seminar on Probability Theory and Related Topics
 
10:30 - 12:30, May 14, 2015 (Thursday)
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.


 

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