CAM Colloquium: Sumanta Basu (Statistics and Data Science & Computational Biology, Cornell) - Measuring systemic risk with graphical models of time series data
Frank H. T. Rhodes Hall 655
After the 2007-09 financial crisis, there has been a growing interest in measuring systemic risk, broadly defined as the risk of widespread failure of the entire financial system. In a highly interlinked financial market, a large body of recent works have proposed to use network connectivity amongst financial institutions to assess their systemic importance. In this work, we will present some graphical modeling techniques for learning interactions among the components of a large dynamic system from multivariate time series data, where the core idea is to learn from lead-lag relationships (commonly known as Granger causality) between time series in addition to their co-movements. In the context of modeling networks of interactions amongst financial institutions and measuring systemic risk, we will demonstrate how linear and quantile-based Granger causality analyses using vector autoregressive (VAR) models can provide insight. We will present some non-asymptotic statistical theory for our proposed algorithms, estimate these graphical models using stock returns of large financial institutions in U.S. and India, and demonstrate their usefulness in detecting systemically risky periods and institutions. This is joint work with Kara Karpman and Diganta Mukherjee.
I am broadly interested in developing statistical machine learning methods for structure learning and prediction of complex, high-dimensional systems arising in biological and social sciences. I am currently working in two areas: (a) network modeling of high-dimensional time series; and (b) detecting high-order interactions in complex biological systems using randomized tree ensembles. I also work closely with scientists and economists on a wide range of problems including prostate cancer progression, large scale metabolomics, and systemic risk monitoring in financial markets. Before joining Cornell, I was a postdoctoral scholar (2014-2016) in the Department of Statistics, UC Berkeley and the Biosciences Division, Lawrence Berkeley National Laboratory . I received my PhD (2014) from the Department of Statistics, University of Michigan , and my bachelors (2006) and masters (2008) in Statistics from Indian Statistical Institute, Kolkata.