Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches

The recent financial crisis has underlined the importance of financial stability and systemic risk in the financial sector, and the monitoring and regulation of systemic risk has become a major concern for regulators, governments and financial institutions. Insights from the crisis include the importance of interconnectedness among financial institutions and markets, the insufficiency of monitoring the stability of individual financial institutions and the necessity of adopting a system-wide view of stability and risk. Useful insights may also be gained from analogous problems related to the large scale (in)stability of systems with many interconnected components and feedback loops in other disciplines.Read more at http://www.newton.ac.uk/event/syr

Recent Episodes
  • A kinetic theory view of mean field games and applications to economics
    Oct 9, 2014 – 41:32
  • A Systemic Indicator for the Size of Shadow Banking
    Dec 19, 2014 – 58:04
  • An Agent-Based Model for Financial Vulnerability
    Aug 29, 2014 – 48:53
  • An Integrated Model of Systemic Risk in Financial Networks
    Nov 12, 2014 – 01:27:00
  • Backtesting and Elicitability Of Risk measures
    Dec 15, 2014 – 01:12:00
  • Bank Credit Risk Networks: Evidence from the Eurozone Crisis
    Sep 26, 2014 – 56:04
  • Bank Networks: Contagion, Systemic Risk and Prudential Policy
    Dec 19, 2014 – 01:03:00
  • Bank Runs, Deposit Insurance, and Liquidity: I
    Nov 28, 2014 – 01:03:00
  • Bank Runs, Deposit Insurance, and Liquidity: II
    Dec 10, 2014 – 01:04:00
  • Bank, Shadow Banking, and Fragility
    Dec 22, 2014 – 47:38
  • BSLoss– a comprehensive measure for interconnectedness
    Dec 22, 2014 – 48:03
  • Capital Adequacy, Pro-cyclicality and Systemic Risk
    Sep 26, 2014 – 01:00:00
  • Capital Regulation in a Macroeconomic Model with Three Layers of Default
    Dec 22, 2014 – 01:05:00
  • Conditional Quantiles and Tail Dependence
    Sep 29, 2014 – 01:05:00
  • Conflict in social networks
    Nov 12, 2014 – 01:12:00
  • Control of interbank contagion under partial information
    Aug 29, 2014 – 41:33
  • Do U.S. Financial Regulators Listen to the Public? Testing the Regulatory Process with the RegRank algorithm
    Dec 22, 2014 – 59:44
  • Dynamics of the Leverage Cycle
    Aug 26, 2014 – 40:38
  • Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions
    Aug 29, 2014 – 41:37
  • Emergence of the EU Corporate Lending Network
    Aug 26, 2014 – 47:41
  • Endogenous Leverage and Asset Pricing in Double Auctions
    Dec 19, 2014 – 51:03
  • Endogenous network topology in the interbank lending market
    Jan 27, 2015 – 01:01:00
  • Epidemics in networks
    Nov 12, 2014 – 01:04:00
  • Filling in the Blanks: Network Structure and Interbank Contagion
    Sep 26, 2014 – 01:00:00
  • Financial Innovation and Backward Stochastic Difference Equations
    Jan 19, 2015 – 01:02:00
  • Financial intermediaries in the theory of money
    Dec 22, 2014 – 55:00
  • Financial Networks and Contagion
    Aug 29, 2014 – 45:59
  • Financial regulations and bank credit to the real economy
    Dec 22, 2014 – 49:43
  • Financial Sector Health Since 2007: A Comparative Analysis of the United States, Europe and Asia
    Dec 22, 2014 – 01:04:00
  • Fire sales, endogenous risk and price-mediated contagion
    Sep 29, 2014 – 01:05:00
  • Fire sales, endogenous risk and price-mediated contagion: modeling, monitoring and prudential policy
    Jan 22, 2015 – 01:02:00
  • Fire-Sale Spillovers and Systemic Risk
    Aug 29, 2014 – 46:08
  • Geometry of Defaults
    Dec 22, 2014 – 47:21
  • Government Guarantees and Financial Stability
    Aug 28, 2014 – 46:16
  • How does macroprudential regulation change bank credit supply?
    Dec 22, 2014 – 59:04
  • How Likely is Contagion in Financial Networks?
    Sep 3, 2014 – 43:53
  • Illiquidty Component of Credit Risk
    Dec 22, 2014 – 57:15
  • Intermediary Leverage Cycles and Financial Stability
    Aug 28, 2014 – 43:10
  • Intermediary Leverage Cycles and Financial Stability
    Dec 19, 2014 – 01:09:00
  • Intermediation and Systemic Risk in the Repo Market
    Aug 28, 2014 – 43:05
  • Intermediation and Voluntary Exposure to Counterparty Risk
    Aug 28, 2014 – 46:01
  • Large Bets and Stock Market Crashes
    Oct 24, 2014 – 01:17:00
  • Liquidity hoarding in the interbank market: Evidence from Mexican interbank overnight loan and repo transactions
    Aug 26, 2014 – 38:05
  • Macroprudential regulation
    Dec 22, 2014 – 01:02:00
  • Market diversity under Central Clearing
    Sep 26, 2014 – 01:00:00
  • Market Procyclicality and Systemic Risk
    Aug 28, 2014 – 45:40
  • Mathematical Aspects of Local vs. Global Risk Analysis: I
    Dec 10, 2014 – 01:07:00
  • Mathematical Aspects of Local vs. Global Risk Analysis: II
    Dec 10, 2014 – 01:01:00
  • Mean Field Games and Applications in Economics and Finance I
    Oct 9, 2014 – 01:23:00
  • Mean Field Games and Applications in Economics and Finance II
    Oct 9, 2014 – 01:33:00
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