You are invited to attend a lecture titled:
Illiquidity and Financial Contagion in a Multi-Layered Financial Network
Speaker: Zachary Feinstein, Assistant Professor, Electrical and Systems Engineering Department, Washington University
Thursday, November 29, 6pm
MakerSpace eventspace, 6 Metrotech Center, 1st floor, Brooklyn, NY 11201
In this talk we provide a general framework for modelling financial contagion in a system with obligations in multiple illiquid assets, e.g., currencies. In so doing, we develop a multi-layered financial network that extends the single network of Eisenberg & Noe (2001). In particular, we develop a financial contagion model with fire sales that allows institutions to both buy and sell assets to cover their liabilities and act as utility maximizers. Under standard assumptions, equilibrium portfolio holdings and market prices exist which clear the multi-layered financial system. We demonstrate the value of our model through an illustrative numerical case study of a counterfactual scenario on the event that Greece reinstituted the drachma on a dataset from the European Banking Authority.
Dr. Zachary Feinstein is an assistant professor in the Electrical and Systems Engineering Department at Washington University in St. Louis. He earned his PhD from the Operations Research and Financial Engineering Department at Princeton University in 2014. He has focused his research on risk measures and systemic risk. Much of his work on risk measures is related to the study of time consistency and set-valued processes. In studying systemic risk, Dr. Feinstein has been working with network models considering both interbank payments and price mediated contagion. Dr. Feinstein has written multiple articles on financial topics related to popular fiction. These work have been highlighted on Bloomberg TV, the New York Times, and the Wall Street Journal among many other prominent news outlets.
Light refreshments will be served. Please mark your calendars and we look forward to having you join us. This is the last lecture for fall 2018.