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学术报告六十三:Systemic Risk and Optimal Design of Central Clearing Counterparty

来源:数学与统计学院     作者:     时间:2018/7/3 10:45:11  0次

数学与统计学院学术报告[2018] 063

(高水平大学建设系列报告182)

报告题目: Systemic Risk and Optimal Design of Central Clearing Counterparty

 

报告人:   邹斌 (助理教授,美国康涅狄格大学

报告时间:75   周四  下午 3:30-4:30

报告地点: 科技楼514

报告邀请人:  龚华均                           

报告内容:

We propose a novel central clearing counterparty (CCP) design for a financial network with multilateral clearing, where the participation rate of individual banks depends on the volume-based fee charged by the CCP. We introduce a general demand function for the individual banks participation rate and seek the optimal fee that maximizes the net worth of the CCP. The optimal fee is explicitly solved for the case of a quadratic demand function. We show that partial participation of banks in the CCP at the optimal fee rate reduces banks aggregate shortfall in the financial network and also reduces the overall systemic risk. This result justifies the alignment of interests of the profitable aspect and the regulatory aspect of the CCP. Furthermore, we carry out numerical examples to verify the theoretical results.

报告人简历:

邹斌博士,康涅狄格大学数学系助理教授(tenure-track Assistant Professor at the University of Connecticut)。 2007年获北京理工大学学士,2009年获北京理工大学硕士,2015年获加拿大阿尔伯特大学(University of Alberta)博士。 20155月至20168月,德国慕尼黑工业大学 (Technical University of Munich) 数学系金融数学博士后,20169月至20178月,美国华盛顿大学应用数学系博士后。 所著论文发表在Operations Research Letters, Mathematica and Financial Economics, Insurance: Mathematics and Economics等国外期刊。 担任SIAM on Financial Mathematics, Mathematics of Operations Research, Journal of Banking and Finance等知名期刊的审稿人。

 

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