Seminars & Colloquia Calendar

Download as iCal file

Mathematical Finance and Probability Seminars

"Modeling wealth dynamics under central clearing"

Date & time: Tuesday, 28 March 2017 at 11:45AM - 1:00PM

Tuesday, March 28th

Allen Cheng, Columbia University

"Modeling wealth dynamics under central clearing"

Time: 11:45 AM
Location: Hill 705
Abstract: We provide a flexible, scalable, and analytically tractable model for participants of a centrally cleared market. By exploiting real-world features of clearing practices, we providing a unifying framework that models, jointly and explicitly, financial institutions' business operations, trading activities, allocation of capital, and the resulting wealth dynamics. We find that (i) trading is more capital intensive for large clearing members, (ii) incomplete information can significantly distort measured concentration, (iii) market collateral demand is positively correlated with wealth concentration, (iv) wealth concentration has the inherent tendency to build up, (v) there is a potential tradeoff between wealth and business diversity, and (vi) a concentration charge on collateralizing margins can be used to steer concentration.

Special Note to All Travelers

Directions: map and driving directions. If you need information on public transportation, you may want to check the New Jersey Transit page.

Unfortunately, cancellations do occur from time to time. Feel free to call our department: 848-445-6969 before embarking on your journey. Thank you.