Alexandria Digital Research Library

Stochastic flocking and its application to systemic risk with jumps

Author:
Chiu, Yi-Tai
Degree Grantor:
University of California, Santa Barbara. Statistics and Applied Probability
Degree Supervisor:
Jean-Pierre Fouque
Place of Publication:
[Santa Barbara, Calif.]
Publisher:
University of California, Santa Barbara
Creation Date:
2015
Issued Date:
2015
Topics:
Finance, Statistics, and Mathematics
Keywords:
Stochastic differential games
Control
Flocking
Central bank
Systemic risk
Jumps
Genres:
Online resources and Dissertations, Academic
Dissertation:
Ph.D.--University of California, Santa Barbara, 2015
Description:

In this dissertation, we first study the effect of jumps on a stochastic flocking model and discuss characteristics of this model. We investigate its application to understand systemic risk by proposing an interbank lending model with jump diffusions and further show that there will be a higher systemic risk with jumps (i.e., sudden increases or decreases in reserves) in our model. Then, to examine how the systemic risk will be affected when each bank is acting toward their best self-interest, we integrate a game feature with jumps where each bank controls its rate of borrowing/lending to a central bank. We then solve Nash equilibria with finitely many players in this game with jumps, within which the central bank acts as a clearing house and adds liquidity to the system. The result indicates that the linear growth contributed by jumps to the system does not affect the systemic risk in the model. Finally, we propose another model with a central bank as well as peripheral banks and investigate the impact of interaction between all banks on systemic risk. The systemic risk might be reduced if the central bank is allowed to monitor liquidity by solving an optimal control problem. We also provide a mean-field game approach to approximate the equilibria for finitely many players.

Physical Description:
1 online resource (139 pages)
Format:
Text
Collection(s):
UCSB electronic theses and dissertations
ARK:
ark:/48907/f32v2d9s
ISBN:
9781339218632
Catalog System Number:
990045865130203776
Rights:
Inc.icon only.dark In Copyright
Copyright Holder:
YI-TAI CHIU
File Description
Access: Public access
CHIU_ucsb_0035D_12709.pdf pdf (Portable Document Format)