Venerdì  28 Novembre 2014 alle ore 14.00

presso l’Aula di Rappresentanza del Dipartimento di Matematica, 

Via Saldini, 50, Milano

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Tom Hurd

Mc Master University

terrà un seminario dal titolo: Percolation and Financial Cascades

Abstract:  Exact results in percolation theory on random graphs rely on a property known as the ``tree ansatz'', which is known to be asymptotically true on the family of configuration graphs. The question arises whether percolation ideas are relevant l for understanding systemic risk in financial networks. In this talk, I will review models of financial contagion, such as the Eisenberg-Noe model and its alternatives. Along the way, I will propose definitions for ``random financial network'' (RFN) and ``locally treelike independence'' (LTI), and explore these definitions' mathematical consequences. In the end, comparison of analytical approximations to Monte Carlo computations in some realistic network cascade examples shows that there are indeed situations where the LTI approximation is "surprisingly" accurate.