Sie sind hier: FRIAS Fellows Fellows 2020/21 Prof. Dr. Gechun Liang

Prof. Dr. Gechun Liang

University of Warwick, UK
External Senior Fellow
Marie S. Curie FCFP Fellow
Juli - September 2019


Dr. Gechun Liang is an Associate Professor in the Department of Statistics at the University of Warwick. Prior to that, he was a Lecturer in the Department of Mathematics at King's College London (2013-2017); a Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance (2010-2013). He is still affiliated with the Oxford-Man Institute, where he now holds Associate Membership. He completed his D.Phil. (Ph.D.) in Mathematics at the Mathematical Institute, Oxford University in 2011. His research is mainly focused on mathematical finance and stochastic analysis.

Publikationen (Auswahl)

  • The backward stochastic dynamics on a filtered probability space, (with Terry Lyons and Zhongmin Qian), Annals of Probability, Vol.39, No.4, (2011), 1422-1448.
  • A multi-period bank run model for liquidity risk, (with Eva Lutkebohmert and Yajun Xiao), Review of Finance, Vol.18, No.2, (2014), 803-842.
  • Pseudo linear pricing rule for utility indifference valuation, (with Vicky Henderson), Finance and Stochastics, Vol.18, No.3, (2014), 593-615.
  • Stochastic control representations for penalized backward stochastic differential equations, SIAM Journal on Control and Optimization, Vol.53, No.3, (2015), 1440-1463. 
  • Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE, (with Thaleia Zariphopoulou), SIAM Journal on Financial Mathematics, Vol.8, No.1, (2017), 344-372. 


A Mean-field Game Approach to Rollover Risk and Systemic Risk

The proposed research project aims at studying (1) the impact of liquidity and insolvency risks on individual financial institutions and the whole financial system; (2) the impact of the implementation and adjustment of macroprudential instruments on the financial sector, and their efficiency in reducing the overall systemic risk.

In a network of financial institutions we will investigate two contagion mechanisms and their interactions. First, default contagion emerges from a shortfall in asset value of a single institution, which can trigger losses on interbank assets of other institutions and, thus, can be destabilizing for the whole system. Second, liquidity contagion stems from funding problems initially affecting only a single institution. These yield a reduction of interbank loans which can in turn trigger funding problems of other institutions and ultimately can cause a systemic crisis.

We propose a mean-field game approach to study the interactions between different financial institutions, which will allow us to investigate how the above two contagion effects depend on institutions’ balance sheet structure and which macroprudential instruments can help to prevent a crisis to spread.