NYU Tandon School of Engineering, Chair of FRE Department
"Mean Field Games approach to Systemic Risk"
Connections between economic agents are desirable for risk diversification purposes. However, they may also be responsible for default contagion, a major concern at the heart of the financial stability of the system. We develop a model of system connection based on the strategic interaction between economic agents. By considering the mean field limit, we provide a quasi explicit solution of the mean field game. This allows to provide an approximate Nash equilibrium for the finite population problem.
Nizar Touzi is Professor at NYU Tandon School of Engineering, Chair of the FRE department. He was previously Professor at Ecole Polytechnique (France), Department of Applied Mathematics. His research expertise is on stochastic optimal control and differential games, with applications in finance and economics.
He holds a PhD from the University Paris Dauphine in January 1994, where he was appointed Assistant Professor. After a passage by University Pantheon Sorbonne, ENSAE as head of the finance and actuarial sciences lab, and Imperial College London, he served as Professor of applied mathematics and head of the financial mathematics group at Ecole Polytechnique from 2006 to 2023, where he took various responsibilities including chair of his department and head of the doctoral school in Mathematics from 2021 to 2023.
Nizar was invited to the International Congress of Mathematicians (Hyderabad 2010) as a session speaker and received the Louis Bachelier prize of the French Academy of Sciences in 2012 and the Paris Europlace prize of Best Young Researcher in Finance in 2007. He obtained many research grants, including the prestigious Advanced ERC grant. He is co-editor and associate editor in various international journals in the fields of financial mathematics, applied probability, and control theory.