Events

Professor David D. Yao
Piyasombatkul Family Professor
Department of Industrial Engineering and Operations Research
Columbia University

ABSTRACT

Recent events (the pandemic, geo-political conflicts, climate change, etc) call for studies on systemic risk in supply-demand networks (SDNs). An SDN is a network with nodes (or “agents”) representing resources with processing and/or storage capabilities and arcs representing their supply-demand relations. Systemic risks in the SDN arise from its interconnectedness, such that disruption (or “shock’’) at one node may quickly propagate to other nodes and possibly lead to a system-wide disaster. There are similarities to systemic risk in the financial system, but also fundamental differences. We will discuss how stochastic networks can play an essential role in modeling and analyzing systemic risk in the SDN, along with certain risk-hedging tools and other technologies such as digital twins and reinforcement learning.

BIO

David D. Yao is the Piyasombatkul Family Professor of Industrial Engineering and Operations Research at Columbia University, where he is a co-chair of the Financial and Business Analytics Center at Columbia Data Science Institute, and more recently, co-director of the Columbia Fintech, AI and Business Analytics (FABULYS) Initiative. His research and teaching interests are in applied probability, stochastic networks and financial engineering and fintech. He has been a Guggenheim Fellow, IEEE Fellow, INFORMS Fellow, and a Member of the U.S. National Academy of Engineering.