Research Seminar - Çağın Ararat

The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

• Çağın Ararat (School of Mathematics, University of Leeds)
  Can Nash Inform Capital Requirements? Allocating Systemic Risk Measures
  
  Wednesday, May 6, 2026, 17:15, Building D4, Room D4.0.127

Abstract: 
Systemic risk measures aggregate the risks from multiple financial institutions to find system-wide capital requirements. Though much attention has been given to assessing the level of systemic risk, less has been given to allocating that risk to the constituent institutions. We propose a Nash allocation rule that is inspired by game theory. Intuitively, to construct these capital allocations, the banks compete in a game to reduce their own capital requirements while maintaining system-level acceptability. We provide sufficient conditions for the existence and uniqueness of Nash allocation rules, and apply our results to the prominent structures used for systemic risk measures in the literature. We demonstrate the efficacy of Nash allocations with numerical case studies using the Eisenberg-Noe aggregation mechanism.

Joint work with Zachary Feinstein.

Please note that currently there are no Zoom streams planned for the talks in this semester.
For further information (such as related papers, linked software etc.) and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar