Seminar: Analysis of Financial Crises with Stochastic Optimal Control: An Application to Eurozone Crisis by Haluk Yener
We present the application of the techniques of stochastic optimal control for the analysis of international financial crises, particularly the recent Eurozone crisis. To this end, we first present the background on stochastic optimal control theory, then show a mathematical framework to spot the non-resilient periods of an economy by using the techniques of this theory. This framework is an alternative to many empirical and analytical approaches employed in the literature and allows us to construct a non-resilience rule to spot the distressful periods of sixteen European economies quite successfully over the course of almost thirty years. Furthermore, to show why an economy become non-resilient, we solve a problem related to survival analysis and establish an analytic relationship between the leverage level of an economy and the strength of its fundamentals. We then apply our approach to the same group of countries and show with a vector autoregressive model why certain indebted European economies went into crisis. With this analysis, we demonstrate how the proposed mathematical framework can be united with an empirical technique and show why certain indebted European economies struggled more heavily than the others.
Dr. Yener is Assistant Professor of Finance at Istanbul Bilgi University’s Business Faculty. He teaches courses in Asset Pricing & Financial Markets, Quantitative Finance and Corporate Finance. He is a member of Istanbul Bilgi University’s Business Faculty for almost eight years. He was also a member of Kadir Has University’s Business Administration Department during 2015-2016 academic period. Dr. Yener received his PhD in Mathematics with concentration in Mathematical Finance from Imperial College London. He holds M.Sc degree in Financial Economics from Istanbul Bilgi University, M.Eng. degree in Operations Research & Industrial Engineering from Cornell University, and B.S. degree in Industrial Engineering & Management Sciences from Northwestern University. His main research interests are in the areas of investment management, actuary, and international finance, particularly debt crises. In his published research, Dr. Yener considered variants of the goal reaching and survival problems by applying the techniques of stochastic optimal control theory. In this regard, Dr. Yener’s published work addressed the issues related to portfolio selection problems under the constrained markets, and to the analysis of major international debt crises.
Date: Friday, April 16, 2021
Online Seminar Link:
Meeting ID: 934 3051 2540