| Title | Simulation Models on Systemic Risks |
| Speaker | Dr. Akira Namatame |
| Chair | Shu-Heng Chen |
Abstract
The recent financial crises have made it clear that increasingly complex strategies for managing risk in individual financial institutions have not been matched by corresponding attention to overall systemic risks. The qualification of systemic risks lies in the systemic nature and risks to one system may present an opportunity to another system. The impacts of systemic risks challenge for secure the financial systems as well as many socio-economic systems. However the consequences of systemic risks are harder to predict and estimate and understanding the nature of systemic risks presents challenges to all of us.
This tutorial surveys a number of interesting theoretical and empirical studies on systemic risks and introduces some fundamental analytical and simulation models on systemic risks. These models consider the interplay between the characteristics of individual institutions and the overall dynamics of the financial networks. These models basically focus on designing of regulation policies aimed at reducing systemic risk.
The network is only as strong as its weakest link, and trade-offs are most often connected to a function that models system performance management. In this tutorial we also introduce the issue of designing desirable networks to mitigate systemic risks. We define metrics on network robustness and resilience and formulate multi-criteria network optimization problems. We use generic algorithm (GA) to solve these optimization problems and obtain optimal network topologies.
Biography
Dr. Akira Namatame (www.nda.ac.jp/~nama) is Professor of Computer Science Department at National Defense Academy of Japan. He is well-known as an international research leader in the field of multi-agent modeling and socio-economic complexity. In the past ten years he has given over 30 invited talks, and over 10 tutorial lectures. He has also been a leading figure in the community of researchers working on socio-economic complexity, for instance as programme leader in many international conferences in the fields. His research interests include multi-agent systems, complex networks, evolutionary computation, and game theory. He is the editor-in-chief of Springer’s Journal of Economic Interaction and Coordination. He has published more than 250 refereed scientific papers, together with eight books on multi-agent systems, collective systems and game theory.
