讲座信息
主题
基于偏微分方程模型的风险传播与预测
主讲人&主持人
主讲人：安玉莲
主持人：李一杭
时间
2022年11月17日 （周四）
晚上19:30-21:30
会议地址与会议号
会议地址：
https://meeting.tencent.com/dm/ge7JB9KfrWgC
腾讯会议号：792-330-496
摘 要
In this talk, we will introduce an spatio-temporal partial differential equation (PDE) model and predicts the contagion effect of systemic risk in China’s listed bank network through numerical simulation. Firstly, the information flow correlation network is constructed based on the 2018 daily bank stock returns. Then, 24 listed banks are clustered by complex network and spectral clustering. Finally, the PDE model is used to predict the contagion effect of risk within and between clusters. The results show that the model’s prediction accuracy reaches more than 95%. Furthermore, simulation results verify that stricter joint control result in lower systemic risk. The timeliness of central bank intervention, intensity of financial regulators, and differences in bank strategies are important and efficient factors for controlling systemic risk.
主讲人简介
