Inference for large financial systems

• Published in: Mathematical finance Vol. 30; no. 1; pp. 3 - 46
• Main Authors: Giesecke, Kay, Schwenkler, Gustavo, Sirignano, Justin A.
• Format: Journal Article
• Language: English
• Published: Oxford Blackwell Publishing Ltd 01.01.2020
• Subjects: Banking system; computational efficiency; Convergence; Financial systems; Inference; large interacting stochastic systems; likelihood inference; Mathematical models; Numerical methods; Parameter estimation; statistical efficiency

We treat the parameter estimation problem for mean‐field models of large interacting financial systems such as the banking system and a pool of assets held by an institution or backing a security. We develop an asymptotic inference approach that addresses the scale and complexity of such systems. Ha...