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Joint Risk & Stochastics and Financial Mathematics Seminar

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The following seminars have been jointly organised by the Risk and Stochastics Group and the Department of Mathematics. The Seminar normally takes place on Thursdays from 12.00 pm - 1.00 pm in room NAB.1.09 (New Academic Building, LSE), unless stated below.

The series aims to promote communication and discussion of research in the mathematics of insurance and finance and their interface, to encourage interaction between practice and theory in these areas, and to support academic students in related programmes at postgraduate level. All are welcome to attend. ***If you are not an LSE member of staff or LSE student please email seminar@maths.lse.ac.uk with details of the Joint Risk and Stochastics and Financial Mathematics seminar(s) you would like to attend so that we can notify the security reception desks to facilitate your access into the New Academic Building***

Please contact the seminar administrator on seminar@maths.lse.ac.uk for further information about any of these seminars.

Upcoming Speakers:

This seminar swries does not normally take place during the Summer Term 2016.  However, opportunity does arise for the occasional seminar which will be listed below.

Thursday 5 May - Andreea Minca (Cornell University)
***Change to usual venue: 32L.G.17, 32 Lincoln's Inn Fields, LSE***
Dynamics and Stability of Debt Capacity

We propose a dynamic model that explains the build-up of short term debt when the creditors are strategic and have different beliefs about the prospects of the borrowers' fundamentals. We define a dynamic game among creditors, whose outcome is the short term debt.  As common in the literature, this game features multiple Nash equilibria.  We give a refinement of the Nash equilibrium concept that leads to a unique equilibrium.
 
For the resulting debt-to-asset  process of the borrower we define a notion of stability and find the debt ceiling which marks the point when the borrower becomes illiquid.
We show existence of early warning signals of bank runs: a bank run  begins when the debt-to-asset process leaves the stability region and becomes a mean-fleeing sub-martingale with tendency to reach the debt ceiling.


Our results are robust across a wide variety of specifications for the distribution of the capital across creditors' beliefs.  This is joint work Johannes Wissel.

Thursday 12 May - Remi Peyre (École des Mines de Nancy)
***Change to usual venue: 32L.G.17, 32 Lincoln's Inn Fields, LSE***

Title and abstract TBC

 

Previous Seminars:

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