Modeling Systemic Risk
Dr. Garud Iyengar
Professor in the Industrial Engineering and Operations Research Department in the School of Engineering and Applied Science at Columbia University
* Reception to be held following this talk - Babbio Center 5th Floor
ABSTRACT: Systemic risk refers to the risk of collapse of an entire complex system as a result of the actions taken by the individual component entities or agents that comprise the system. Systemic risk is an issue of great concern in modern financial markets as well as, more broadly, in the management of complex business and engineering systems. In this talk, we will survey our work on modeling systemic risk. We will present an axiomatic framework for analysis of outcomes across agents in the system and over scenarios of nature, a structural model for systemic risk that introduces dynamics into the analysis, and a signed directed graphs (SDG) model for systemic risk that is inspired by work in process systems engineering.
BIO: Garud Iyengar is a Professor in the Industrial Engineering and Operations Research Department in the School of Engineering and Applied Science at Columbia University. He received his B. Tech. in Electrical Engineering from IIT Kanpur, and an M.S. and Ph.D. in electrical engineering from Stanford University. His research interests are broadly in information theory, control and optimization. His published works span a diverse range of fields, including information theory, applied mathematics, computer science, operations research, economics and financing engineering. His current projects focus on the areas of large scale portfolio selection, systemic risk management, quantitative marketing, smart grids, public health and systems biology.
* * *
The Systems Leadership Series is a series of interactive conversations with leading systems thinkers who explore and examine the nature and complexity of systems that modern society depends upon. The series is an unparalleled learning opportunity as prominent speakers come to share cutting-edge ideas, leadership styles and personal philosophies with our students and faculty members.