论坛主题：Uncertain Linear Optimization, Asset Inequality and Vulnerability of the Financial Network

论坛嘉宾：彭积明，美国休斯敦大学工业工程系教授

论坛时间：2016年6月16日（周四）14:30-15:30

论坛地点：博易A209

报告摘要：Since the financial crisis in 2007-2008, systemic risk in a financial network has become a major concern in financial engineering and economics. In this talk, we study the vulnerability of a financial network based on the linear optimization model introduced by Eisenberg and Noe (2001), where the right hand side of the constraints is subject to market shock and only partial information regarding the liability matrix is revealed. We conduct a new sensitivity analysis to characterize the conditions under which a single bank is solvent, default or bankrupted, and estimate the probability that some financial institute in the network will be bankrupted under mild assumptions on the market shock and the network structure. We also show that the asset inequalities among the banks have a negative impact on the efficiency and stability of the network, and that the so-called monopoly network is the most vulnerable.

报告人简介：彭积明博士，现为休斯顿大学工业工程系教授，博士生导师。1993年硕士毕业于中科院科学与工程计算研究所。2001年获荷兰德尔夫特大学运筹学专业博士学位。之前曾任教于加拿大McMaster大学和美国伊利诺伊大学香宾分校。彭教授近期研究主要为优化建模和算法设计及其在金融工程、大数据分析和图像处理方面的应用，在Mathematical Programming、SIAM Journal on Optimization 和Operations Research等国际顶尖期刊上发表学术论文60余篇，出版专著一部，主持美国国家基金面上项目5项。彭博士和他的学生的工作曾多次获奖，如Stieljes prize in Holland (2001), finalist of Tucker prize (2003), primer research excellence award from Ontario (2003), first runner-up for the annual Morgan Stanley Prize for Excellence in Financial Market (2012), best research paper award in financial service, Informs (2013)。