Systemic Risk, Endogenous Contagion and McKean-Vlasov Control

Explore a 49-minute lecture from the SIAM Activity Group on FME Virtual Talk Series featuring Ben Hambly from the University of Oxford discussing particle system models for systemic risk in financial systems. Delve into how particles represent institutional financial health, influenced by common noise and contagion factors, and examine the derivation of McKean-Vlasov equations that describe entire financial system dynamics. Master the concepts of a McKean-Vlasov control problem from a central planner's perspective, focusing on preventing systemic events while minimizing costs, complete with mathematical analysis and numerical examples that demonstrate practical applications in financial mathematics and engineering.