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.
The purpose of this programme is to gather an international panel of mathematical scientists, economists, regulators, risk professionals, and scientists from related disciplines to discuss theoretical and operational approaches for modelling, measuring and controlling systemic risk in the financial system, with the aim of fostering interdisciplinary exchanges and transfers on this important topic as well as providing a platform for exchange between scientists and regulators.
The semester will focus on theoretical developments in understanding the mechanisms underlying systemic risk and financial instability, metrics for identifying sources of systemic risk, as well as the data requirements and statistical tools for monitoring these sources in practice. Finally, discussion will attempt to tackle the difficult challenges which lie ahead in the control and management of systemic risk: in particular, we will focus on insights given by quantitative models on the impact of regulation on financial stability, with an attention to possible unintended consequences of such regulations.
This programme is supported by:
A limited number of Junior Travel Grants are available to young researchers (at PhD or postdoctoral level) participating in this programme, through a donation of the NATIXIS Foundation for Quantitative Research. These grants cover the travel costs of a young researcher participating in the programme, up to £420.
If you are interested in such a travel grant please apply for this support by contacting programmes[at]newton.ac[dot]uk. You will be informed of the outcome by 30 June 2014.