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X-WR-CALDESC:Events for CREST
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DTSTART:20190331T010000
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DTSTART:20191027T010000
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DTSTART;TZID=Europe/Helsinki:20191007T001500
DTEND;TZID=Europe/Helsinki:20191007T133000
DTSTAMP:20260818T041442
CREATED:20190826T122533Z
LAST-MODIFIED:20190826T122533Z
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SUMMARY:Matthew Jackson (Stanford University) - "What Makes Financial Networks Special? Distorted Investment Incentives\, Regulation\, and Systemic Risk Measurement"
DESCRIPTION:CREST Microeconomics Seminar :  \n\nTime: 12:15 pm – 1:30pm\nDate: 07th Oct. 2019\nPlace: Room 3001.\nMatthew Jackson (Stanford University) – “What Makes Financial Networks Special? Distorted Investment Incentives\, Regulation\, and Systemic Risk Measurement” joint work with Agathe Pernoud\n\nAbstract:\n“In a model of financial networks with both debt and equity interdependencies\, we show that financial organizations have incentives to: choose excessively risky portfolios; overly correlate their portfolios with those of their counterparties; and under-diversify in terms of choosing too few counterparties with whom to share risk. We also provide a measure of financial centrality in terms of how a given organization’s portfolio affects the values and defaults of other organizations. Additionally\, we characterize optimal regulation in terms of the use of reserve requirements versus bailouts\, and fully characterize the minimum bailouts needed to ensure systemic solvency.” \n\nOrganizers: \n\n\nRoxana Fernandez Machado (CREST)\, Marie Laure Allain (CREST)\, and Linda Schilling (CREST)\nSponsors:\nCREST\nLunch registration:\nfood provided\, no registration needed\n\n  \n
URL:https://crest.science/event/matthew-jackson-stanford-university-what-makes-financial-networks-special-distorted-investment-incentives-regulation-and-systemic-risk-measurement/
LOCATION:3001
CATEGORIES:Microeconomics
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DTSTART;TZID=Europe/Paris:20191007T140000
DTEND;TZID=Europe/Paris:20191007T151500
DTSTAMP:20260818T041442
CREATED:20190703T121747Z
LAST-MODIFIED:20190703T121747Z
UID:12294-1570456800-1570461300@crest.science
SUMMARY:Vianney PERCHET (CREST) - "An adaptive stochastic optimization algorithm for resource allocation"
DESCRIPTION:\nThe Statistical Seminar: Every Monday at 2:00 pm.\nTime: 2:00 pm – 3:15 pm\nDate: 7th of October 2019\nPlace: Room 3001.\nVianney PERCHET (CREST) – “An adaptive stochastic optimization algorithm for resource allocation“ \nAbstract: In this talk\, I will consider the classical problem of sequential resource allocation where a decision maker must repeatedly divide a budget between several resources\, each with diminishing returns. This can be recast as a specific stochastic optimization problem where the objective is to maximize the cumulative reward\, or equivalently to minimize the regret. We construct an algorithm that is adaptive to the unknown complexity of the problem\, expressed in term of the regularity of the returns of the resources\, measured by the exponent in the Łojasiewicz inequality (or by their universal concavity parameter). Our parameter-independent algorithm recovers the optimal rates for strongly-concave functions and the classical fast rates of multi-armed bandit (for linear reward functions). Moreover\, the algorithm improves existing results on stochastic optimization in this regret minimization setting for intermediate cases. \nOrganizers:\nCristina BUTUCEA\, Alexandre TSYBAKOV\, Julie JOSSE\, Eric MOULINES\, Mathieu ROSENBAUM\nSponsors:\nCREST-CMAP\n \n\n
URL:https://crest.science/event/vianney-perchet/
CATEGORIES:Statistics
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