We are glad to have Xiang-Shen Ye, as our speaker for this week’s social hour on Friday, October 27 at 3:00PM in 369 CSL. This session is titled as “Optimization in Curbing Risk Contagion among Financial Institutes”.
Abstract: Financial institutions are interconnected by holding debt claims against each other. It can be shown that a good mechanism of default liquidation may improve the total wealth of the financial system. this problem can be formulated as a nonlinear optimization problem with constraints and propose an optimal liquidation policy to minimize the system’s loss. It can be shown that this problem resembles a Markov decision problem (MDP) and therefore we can apply the direct-comparison based optimization approach to solve this problem.
Bio: Xiang-Shen is a visiting Ph.D. student at Coordinated Science Laboratory working under the supervision of Professor Tamer Başar. Currently he is pursuing the Ph.D. degree in the Department of Automation, Shanghai Jiao Tong University, Shanghai, China, under the supervision of Professor Xi-Ren Cao. He received the B.Eng. degree in automation science from Beijing University of Aeronautic and Astronautics, Beijing, China, in 2013. His current research interests include discrete event dynamic systems, stochastic learning and optimization, and financial engineering. In his free time, he enjoys reading, hiking, skiing, and playing basketball.
Important: The Video-of-the-Month is due by noon, Thursday, Oct 26. The link to upload your videos is: go.illinois.edu/bestvideo.