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COCULESCU Delia (University of Zurich) "Continuous Time Distress Propagation: the Role of Cooperation"

October 7, 2019 @ 3:30 pm - 4:30 pm | Organizers: Peter TANKOV, Caroline HILLAIRET

1st Monday of each month
Time: 3:30 pm – 4:30 pm
Date: 07th of October 2019
Place: Room 3105
Delia COCULESCU (University of Zurich) “Continuous Time Distress Propagation: the Role of Cooperation”
Abstract : We propose a continuous time model for the state of liquidity in the a large system composed of financial institutions. Using a game theoretical approach, we investigate the emergence of stable groups where entities cooperate in order to avoid distress, that is, the low liquidity state.
Joint with Oana Lupascu (Bucarest) and Gabriele Visentin (Zurich).