Monday, February 6, 2023 2pm to 3pm
About this Event
3620 South Vermont Avenue, Los Angeles, CA 90089
Zachary Feinstein [In person]
Stevens Institute of Technology
or
Zoom Meeting: https://usc.zoom.us/j/99043842732?pwd=c3BMM0dIYWt1Sm9SSXE5ZE5uUFNGZz09
Meeting ID: 990 4384 2732
Passcode: 982208
Abstract: In this talk we introduce an interbank network with stochastic dynamics in order to study the yield curve of bank debt under an endogenous network valuation adjustment. This entails a forward-backward approach in which the future probability of default is required to determine the present value of debt. As a consequence, the systemic model presented herein provides the network valuation adjustment to the term structure for free without additional steps required. Time permitting, we present this problem in two parts: (i) a single maturity setting that closely matches the traditional interbank network literature and (ii) a multiple maturity setting to consider the full term structure. Numerical case studies are presented throughout to demonstrate the financial implications of this systemic risk model.
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