摘要： It has now been widely recognized among academics and financial practitioners that risk spreads through highly interconnected business networks, and defaults could trigger more defaults via a ‘domino’ effect. The resulting losses presented in financial markets could be amplified. The contagion effect normally can be triggered by losses or defaults in the interbank market, where simple point process model would not be able to capture contagion effect of jumps or defaults in markets, particularly during crisis. We introduce a new type of self-exciting contagion processes for modelling the arrival of events (such as jumps, defaults, bankruptcies, loss claims) with clustering, contagion, ripple effects, or herd behaviors. We characterize the distributional properties of this new class of point processes and develop exact sampling framework for generating sample paths of the contagion processes, which lead to a simulation-based approach to study the key quantities at the center of financial risk management.

报告人介绍: 曲研，现为304am永利集团博士后。毕业于英国伦敦政治经济学院统计系，曾在英国华威大学统计系就职。主要的研究领域为应用概率论，计算金融，金融数学，保险精算等数量金融交叉领域。  

地点：（a）304am永利集团理科1号楼 1303
            (b)  腾讯会议：会议 ID：588 715 795，会议密码：123456