Section: New Results

Mean-field BSDEs and systemic risk measures

Agnès Sulem with her PhD student Rui Chen, Andreea Minca and Roxana Dumitrescu have studied mean-field BSDEs with a generalized mean-field operator that can capture the average intensity in an inhomogeneous random graph. Comparison and strict comparison results have been obtained. Based on these, they interpret the BSDE solution as a global dynamic risk measure that can account for the intensity of system interactions and therefore incorporate systemic risk. Using Fenchel-Legendre transforms, they establish a dual representation for the expectation of the risk measure, and exhibit its dependence on the mean-field operator [31].