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SUMMARY:Winter school on systemic risk
DTSTART:20170109T080000
DTEND:20170113T170000
DTSTAMP:20260410T114351Z
UID:d4f91a12c33de782a4f2de8009b2637d7b9a471dd14244ce9c9b74b7
CATEGORIES:Conferences - Seminars
DESCRIPTION:Rama Cont (Imperial College London) Tom Hurd (McMaster Univers
 ity) Youri Kabanov (Université Bourgogne Franche-Comté) Andreea Minca (C
 ornell University)\nMain Topics and Lecturers:\n\nChannels of contagion in
  financial systems \nRama Cont (Imperial College London)\nUnderstanding th
 e mechanisms underlying systemic risk requires to shift from the tradition
 al focus on single-portfolio risk modeling and examine the link between th
 e structure of the financial system and its stability\, with a focus on co
 ntagion mechanisms which may lead to large scale instabilities in the fina
 ncial system. Some channels of contagion which have played an important ro
 le in past crises are: insolvency contagion through counterparty exposures
  \, withdrawal of liquidity in funding channels  and price-mediated conta
 gion [4\,5\,8] through fire sales of assets.\n\nThe course is a  review o
 f some recent work on the mechanisms underlying these channels of contagio
 n\, with a focus on the nature and granularity of the ‘network’ underl
 ying each contagion mechanism and the implications of these results for th
 e monitoring and regulation of systemic risk.  \n\nCascade Models in Larg
 e Financial Networks \nTom Hurd (McMaster University)\nThis minicourse aim
 s to provide a unified mathematical framework for the primary channels tha
 t can transmit damaging shocks through financial systems.  It will explor
 e extensions of the material contained in my book\, “Contagion! Systemic
  Risk in Financial Networks”. It is intended for quantitative finance pr
 actitioners\, financial regulators and a broad range of academics includin
 g economists\, physicists\,  applied mathematicians and computer scientis
 ts.\n\nOutline of Topics:\n1. Cascade Mechanisms and Cascade Equilibrium: 
 extending the Eisenberg-Noe 2001 framework to other contagion mechanisms\,
  including Gai-Kapadia 2010 and the Asset Fire Sale Model.\n2. Random Grap
 h constructions: Assortative configuration graphs\, scale-free preferentia
 l attachment graphs and inhomogeneous random graphs.\n3.  Finance Cascade
  analytics: Random Financial Networks\, the Without Regarding condition\, 
 locally tree-like independence\, Cascade Mapping Theorems.  \n\nClearing 
 in financial systems \nYuri Kabanov (Université Bourgogne Franche-Comté)
 \n1. The Eisenberg-Noe-Suzuki model. Existence of the clearing vectors via
  fixpoint theorems. Uniqueness theorem. \n2. The Rogers-Veraart model. Ca
 lculation of the largest clearing vector.\n3. The Suzuki-Elsinger model wi
 th crossholdings.\n4. The Elsinger model with seniorities of liabilities.\
 n5. The Fisher model with CDS. \n6. Models with illiquid securities.  \n
 \nModeling systemic risk \nAndreea Minca (Cornell University)\nThis short 
 series of lectures will present the state of the art in modeling systemic 
 risk. We will be discussing cascade models in inhomogeneous random financi
 al networks\, which are amenable to data.\n\nNext\, we will discus a novel
  framework for the control on interbank contagion. Particular emphasis is 
 placed on core-periphery networks\, and on strategies of risk mitigation i
 n such networks. A new type of stochastic control is discussed\, when unce
 rtainty is about network structure. The control is adapted to a link-revea
 ling filtration\, which models the spatial progression of contagion.\n\nLa
 st\, time permitting\, we will develop models that are rooted into insuran
 ce mathematics\, so that we provide answers to questions pertaining to cen
 tral clearing.\n\nThe outline is as follows:\n1. Inhomogeneous random grap
 hs and large cascade tests.\n2. Control of interbank contagion under parti
 al and complete information.\n3. Central clearing model  using  star net
 works with Sparre-Andersen processes representing the nodes' capital\; Fai
 r membership strategies.
LOCATION:BI A0 448 https://plan.epfl.ch/?room==BI%20A0%20448
STATUS:CONFIRMED
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