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DTSTART:20181104T020000
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UID:calendar.113941.field_date.0@www.wpi.edu
DTSTAMP:20190821T002650Z
CREATED:20181106T183833Z
DESCRIPTION:Description of Event: \n\n\n\nPhD Dissertation Proposal Present
ation by Weijie Pang\nTitle: In the Wake of the Financial Crisis – Regulat
ors’ and Investors’ Perspectives\nAbstract: Before the 2008 financial cri
sis\, most research in the financial mathematics didn’t consider the effec
ts of counterparties’ default\, illiquidity problems\, systemic risk and t
he role of the repurchase agreement (Repo). During the 2008 financial cris
is\, a frozen repo market led to a shutdown of short trades in the stock m
arket. Cyclical interdependencies among corporations caused that a default
of one firm seriously affected other firms and even the whole financial n
etwork.\n\n\n\nIn this thesis\, we will consider financial markets which a
re shaped by financial crisis. This will be done from two distinct perspec
tives\, investors’ and regulators’. Recently models were proposed to compu
te the total valuation adjustment (XVA) of derivatives on an investor side
\, but these models abstract from the effects of Repo markets and their ro
les in different financial statuses. In our research\, we introduce an alt
ernating renewal process to describe a switching between different financi
al statuses. We develop a framework for pricing the XVA of a European clai
m in this state-dependent framework. We represent the price as a solution
to a backward stochastic differential equation and prove the solution's e
xistence and uniqueness.\n\n\n\nTo study financial networks from a regulat
or’s perspective\, the fixed-point based approach by L. Eisenberg and T. N
oe became very popular. In practice\, there is no accurate record of the l
iabilities and thus researchers have to estimate them before apply them in
Eisenberg and Noe type models. In our research\, we conduct a sensitivity
analysis of the Eisenberg and Noe framework\, and quantify the clearing p
ayment’s sensitivity to such estimation errors. We show that the effect to
clearing payment can be describe via directional derivatives that can be
showed as solutions of fixed point equations. We also compute the probabil
ity of observing clearing payment deviations of a certain magnitude.
DTSTART;TZID=America/New_York:20181120T090000
DTEND;TZID=America/New_York:20181120T110000
LAST-MODIFIED:20181106T183833Z
LOCATION:Olin Hall
SUMMARY:Mathematical Sciences - PhD Dissertation Presentation - 'In the Wak
e of the Financial Crisis – Regulators’ and Investors’ Perspectives' by Ph
D Candidate Weijie Pang
URL;TYPE=URI:https://www.wpi.edu/news/calendar/events/mathematical-sciences
-phd-dissertation-presentation-wake-financial-crisis
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