Skorohod problem

Tuesday, May 15, 2018 - 10:00am - 10:50am
David Yao (Columbia University)
We study default and contagion dynamics in a financial system modeled as a high dimensional dynamic complementarity problem, also known as Skorohod problem. An algorithm that solves the Skorohod problem will generate all possible default times over any given horizon, along with the evolution dynamics of each bank's asset values, liabilities and payment flows. The results inform the development of new risk measures for default clustering and contagion concentration.
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