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UID:calendar.197796.field_date.0@www.wpi.edu
DTSTAMP:20200809T205555Z
CREATED:20190321T190427Z
DESCRIPTION:Description of Event: \n\n\n\nWeijie Pang\nPhD Dissertation Pre
sentation\nMathematical Sciences \n\n\n\nTitle: In the Wake of the Financi
al Crisis – Regulators’ and Investors’ Perspectives\n\nAbstract: Before th
e 2008 financial crisis\, most research in financial\nmathematics focused
on the risk management and options' pricing\nwithout considering effects o
f counterparties’ default\, illiquidity\nproblems\, systemic risk and the
role of the repurchase agreement (Repo).\nDuring the 2008 financial crisis
\, a frozen repo market led to a shutdown\nof short sales in the stock mar
ket. Cyclical interdependencies among\ncorporations caused that a default
of one firm seriously affected other\nfirms and even the whole financial n
etwork.\nIn this dissertation\, we will consider financial markets which a
re shaped\nby financial crisis. This will be done from two distinct perspe
ctives\, an\ninvestor’s and a regulator’s. From an investor's perspective\
, recently\nmodels were proposed to compute the total valuation adjustment
(XVA)\nof derivatives without considering a potential crisis in the marke
t. In our\nresearch\, we include a possible crisis by apply an alternating
renewal\nprocess to describe a switching between a normal financial statu
s and a\nfinancial crisis status. We develop a framework for pricing the X
VA of a\nEuropean claim in this state-dependent framework. We represent th
e\nprice as a solution to a backward stochastic differential equation and
\nprove the solution's existence and uniqueness.\nTo study financial netwo
rks from a regulator’s perspective\, one popular\nmethod is the fixed-poin
t based approach by L. Eisenberg and T. Noe.\nHowever\, in practice\, ther
e is no accurate record of the interbank\nliabilities and thus one has to
estimate them to use Eisenberg and Noe\ntype models. In our research\, we
conduct a sensitivity analysis of the\nEisenberg and Noe framework\, and q
uantify the clearing payment’s\nsensitivity to such estimation errors. We
show that the effect of the\nmissing specification of interbank connection
to clearing payments can\nbe described via directional derivatives that c
an be represented as\nsolutions of fixed point equations. We also compute
the probability of\nobserving clearing payment deviations of a certain mag
nitude.\n\n\n\nDissertation Committee:\n\n\n\nDr. Stephan Sturm\, WPI (Adv
isor)\nDr. Agostino Capponi\, Columbia University\nDr. Igor Cialenco\, Ill
inois Institute of Technology\nDr. Randy Paffenroth\, WPI\nDr. Gu Wang\, W
PI
DTSTART;TZID=America/New_York:20190410T100000
DTEND;TZID=America/New_York:20190410T130000
LAST-MODIFIED:20190327T182731Z
LOCATION:Salisbury Laboratories
SUMMARY:Mathematical Sciences - PhD Dissertation Presentation - Weijie Pang
'In the Wake of the Financial Crisis – Regulators’ and Investors’ Perspec
tives'
URL;TYPE=URI:https://www.wpi.edu/news/calendar/events/mathematical-sciences
-phd-dissertation-presentation-weijie-pang-wake-financial
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