英文标题：
《The effect of heterogeneity on flocking behavior and systemic risk》
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作者：
Fei Fang, Yiwei Sun and Konstantinos Spiliopoulos
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最新提交年份：
2017
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英文摘要：
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in the system, i.e., the risk that several agents default simultaneously as a result of interconnections. We also investigate the effect of heterogeneity on the \"flocking behavior\" of different agents, i.e., when agents with different dynamics end up following very similar paths and follow closely the mean behavior of the system. Using Laplace asymptotics, we derive an asymptotic formula for the tail of the loss distribution as the number of agents grows to infinity. This characterizes the tail of the loss distribution and the effect of the heterogeneity of the network on the tail loss probability.
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中文摘要：
本文旨在研究非均匀平均场相互作用扩散中的有组织群集行为和系统风险。我们在许多案例研究中说明了系统内系统性风险行为中异质性的影响，即由于相互关联，多个代理同时违约的风险。我们还研究了异质性对不同代理的“群集行为”的影响，即当具有不同动力学的代理最终遵循非常相似的路径并密切遵循系统的平均行为时。利用拉普拉斯渐近，我们导出了当代理数增长到无穷大时损失分布尾部的渐近公式。这描述了损失分布的尾部以及网络的异质性对尾部损失概率的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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