The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Delia Coculescu (Department of Banking and Finance, University of Zurich)
A Non-Markov Approach for the Evolution of Contagious Phenomena
Friday, January 13, 2023, 10:30 am, Building TC, Room TC.3.01

Abstract:
In some classical dynamical contagion models, the contagion process is a multivariate process (with coordinates valued in a binary set e.g. {default, survival} or {infected, not infected} etc.) that is assumed Markov, conditionally on the observation of its stochastic environment, with interacting intensities. This assumption requires that the environment evolves autonomously and is not influenced by the transitions of the contagion process.
From the applications perspective, the Markov property implies that there are “key factors” impacting the intensities, that are considered exogenous. Typical factors are macro-economic variables (interest rates, inflation) in the case of default contagion, or observed behavioral patterns in case of disease spread. The Markov assumption is not very realistic for systemic risks, as defaults may influence the macro-economic variables, which in turn impact the default probabilities; similarly, in the case of a pandemic, rising numbers of infected individuals may modify behavior of non infected individuals and hence affect the future spread a disease. These types of feedback loops cannot be integrated in a conditionally Markov framework. The aim of this talk is to present an extension of the classical theory that allows to model this type of phenomena.

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar