北京科学与工程计算研究院学术报告之七十一

报告人/Speaker: 彭积明(休士顿大学工业工程系)


报告题目/Title: Assessing the systemic risk in financial networks under limited information


时间/Date & Time: July 2, 2018, 15:30-16:30


地点/Location: 理科楼M843会议室,BISEC


报告摘要/Abstract:

Since the crisis in 2007–2008, how to assess the systemic risk in financial networks has become a very important and active research areas in financial engineering. In this talk, we introduce a bi-level optimization model to assess the risk when only limited information of the network is available. We develop an integrated approach that combines some simple popular optimization methods and new optimization techniques to solve the proposed model. We then characterize the obtained solution to identify the corresponding least stable network structure for fixed assets and exploration of cascading failure in the identified least stable network. Numerical experiments will be reported to verify the theoretical results.  


报告人简介/About the speaker:

彭积明是休士顿大学工业工程系的副教授。在此之前,他曾在加拿大McMaster大学和伊利诺伊大学香槟分校工作。他的最近研究兴趣主要在优化建模, 理论分析和算法设计, 以及在医疗保健,大数据和金融工程的应用。他已发表了一本学术专著(普林斯顿大学出版社) 和六十多篇研究论文。他的研究工作受到学术界的多此奖励和美国自然科学基金会的突出报道。