<北京大学数量经济与数理金融教育部重点实验室>学术报告——Self-Exciting Contagion Process：Exact Simulation and Financial Applications
地点：北京大学理科1号楼 1303（腾讯会议：会议 ID：588 715 795，会议密码：123456）
摘要： It has now been widely recognized among academics and financial practitioners that risk spreads through highly interconnected business networks, and defaults could trigger more defaults via a ‘domino’ effect. The resulting losses presented in financial markets could be amplified. The contagion effect normally can be triggered by losses or defaults in the interbank market, where simple point process model would not be able to capture contagion effect of jumps or defaults in markets, particularly during crisis. We introduce a new type of self-exciting contagion processes for modelling the arrival of events (such as jumps, defaults, bankruptcies, loss claims) with clustering, contagion, ripple effects, or herd behaviors. We characterize the distributional properties of this new class of point processes and develop exact sampling framework for generating sample paths of the contagion processes, which lead to a simulation-based approach to study the key quantities at the center of financial risk management.
(b) 腾讯会议：会议 ID：588 715 795，会议密码：123456