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Seminars (SYR)

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Event When Speaker Title Presentation Material
SYR 22nd August 2014
09:00 to 09:45
G Vuillemey Network structure and central clearing in the CDS market
SYR 22nd August 2014
09:45 to 10:00
G Vuillemey Discussion
SYR 22nd August 2014
10:00 to 10:45
M van der Leij The formation of a core periphery structure in heterogeneous financial networks
SYR 22nd August 2014
10:45 to 11:00
M van der Leij Discussion
SYR 22nd August 2014
11:30 to 12:15
C Kluppelberg Systemic risk through contagion in a core-periphery structured banking network
SYR 22nd August 2014
12:15 to 12:30
C Kluppelberg Discussion
SYRW01 26th August 2014
09:00 to 09:30
A Lehar Why are Banks Highly Interconnected?
SYRW01 26th August 2014
09:45 to 10:15
M van der Leij Liquidity hoarding in the interbank market: Evidence from Mexican interbank overnight loan and repo transactions
SYRW01 26th August 2014
11:00 to 11:30
G Halaj Emergence of the EU Corporate Lending Network
SYRW01 26th August 2014
11:45 to 12:15
JD Farmer Dynamics of the Leverage Cycle
SYRW01 26th August 2014
14:30 to 15:00
N Boyarchenko Intermediary Leverage Cycles and Financial Stability
SYRW01 26th August 2014
15:15 to 15:45
SR Kapadia Financial Networks, Systemic Risk and Macroprudential Policy
SYRW01 26th August 2014
16:15 to 16:45
E Carletti Government Guarantees and Financial Stability
SYRW01 27th August 2014
09:00 to 09:30
M Farboodi Intermediation and Voluntary Exposure to Counterparty Risk
SYRW01 27th August 2014
09:45 to 10:15
TR Hurd Random Financial Networks and Locally Treelike Independence
SYRW01 27th August 2014
11:00 to 11:30
I van Lelyveld Motifs in International Banking Networks
SYRW01 27th August 2014
11:45 to 12:15
S Battiston Market Procyclicality and Systemic Risk
SYRW01 27th August 2014
14:30 to 15:00
A Tahbaz-Salehi Intermediation and Systemic Risk in the Repo Market
SYRW01 27th August 2014
15:30 to 17:00
D Murphy & G Handjinicolaou & D McLaughlin & A (TBC) Lipton Central Clearing of OTC derivatives
SYRW01 28th August 2014
09:00 to 09:30
D Filipovic Systemic Risk and Central Counterparty Clearing
SYRW01 28th August 2014
09:45 to 10:15
P Gottardi Risk-Sharing and Contagion in Networks
SYRW01 28th August 2014
11:00 to 11:30
TM Eisenbach Fire-Sale Spillovers and Systemic Risk
SYRW01 28th August 2014
11:45 to 12:15
N Chen Modeling Financial Systemic Risk- the Network Effect and the Market Liquidity Effect
SYRW01 28th August 2014
14:30 to 15:00
M Gofman Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions
SYRW01 28th August 2014
15:15 to 15:45
RM Bookstaber An Agent-Based Model for Financial Vulnerability
SYRW01 28th August 2014
16:15 to 16:45
S Weber Measures of Systemic Risk
SYRW01 29th August 2014
09:00 to 09:30
M Elliott Financial Networks and Contagion
SYRW01 29th August 2014
09:45 to 10:15
H Amini Default Cascades in Financial Networks
SYRW01 29th August 2014
11:00 to 11:30
C-P Georg A Network View on Interbank Liquidity
SYRW01 29th August 2014
11:45 to 12:15
A Minca Control of interbank contagion under partial information
SYRW01 29th August 2014
13:30 to 14:00
P Young How Likely is Contagion in Financial Networks?
SYRW01 29th August 2014
14:15 to 16:00
R Cont & P Glasserman & F Vega-Redondo Systemic Risk: Models and Mechanisms
SYR 3rd September 2014
11:00 to 12:00
T Kobayashi Asset correlation and network fragility: How should we intervene?
SYR 9th September 2014
10:30 to 12:00
D Duffie Over the Counter Markets (1)
SYR 9th September 2014
14:00 to 15:30
D Duffie Over the Counter Markets (2)
SYR 10th September 2014
11:00 to 12:00
O Kley Systemic risk in large claims insurance markets with bipartite graph structure
SYR 17th September 2014
14:00 to 15:00
M Dempster The true cost of OTC derivatives
SYRW02 22nd September 2014
11:30 to 12:15
P Hartmann Systemic Risk, Macroprudential Supervision and Regulation
SYRW02 22nd September 2014
14:00 to 14:45
F Lillo When Micro Prudence increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
SYRW02 22nd September 2014
15:30 to 16:15
C Brownlees Bank Credit Risk Networks: Evidence from the Eurozone Crisis
SYRW02 22nd September 2014
16:30 to 17:15
G von Peter Filling in the Blanks: Network Structure and Interbank Contagion
SYRW02 23rd September 2014
09:00 to 09:45
N Vause Systemic risk in derivatives markets: a pilot study using CDS data
SYRW02 23rd September 2014
10:00 to 10:45
S Borovkova Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach
SYRW02 23rd September 2014
11:30 to 12:15
C Moallemi Margining with Multiple Central Counterparties
SYRW02 23rd September 2014
14:00 to 14:45
A Capponi Market diversity under Central Clearing
SYRW02 23rd September 2014
15:30 to 16:15
R Douady Capital Adequacy, Pro-cyclicality and Systemic Risk
SYRW02 23rd September 2014
16:30 to 17:15
T Andersen Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence
SYRW02 24th September 2014
09:00 to 09:45
K Yuan Network Risk and Key Players: A Structural Analysis of Interbank Liquidity
SYRW02 24th September 2014
10:00 to 10:45
L Mancini The Euro interbank repo market
SYRW02 24th September 2014
11:30 to 12:15
J-C Heam Funding liquidity from a regulatory perspective
SYRW02 24th September 2014
14:00 to 14:45
C Roling Liquidity spillovers in the German banking system
SYRW02 24th September 2014
15:30 to 16:15
T Ota Measuring Systemic Illiquidity and Optimal Policy Options: A Dynamic Approach
SYRW02 24th September 2014
16:30 to 17:15
K Anand Quantifying contagion in funding markets: An application to stress-testing
SYRW02 25th September 2014
09:00 to 09:45
A Landier Vulnerable Banks
SYRW02 25th September 2014
10:00 to 10:45
R Cont Fire sales, endogenous risk and price-mediated contagion
SYRW02 25th September 2014
11:30 to 12:15
A Minca Networks of Common Asset Holdings: Aggregation and Measures of Vulnerability
SYRW02 25th September 2014
14:00 to 14:45
N Tarashev System-wide risk and systemic importance: an incomplete review of metrics and data
SYRW02 25th September 2014
15:30 to 17:00
L Clerc & R Engle & M Summer Monitoring systemic risk: indicators and data requirements
SYRW02 26th September 2014
09:00 to 09:45
P Cheridito Measuring and allocating systemic risk
SYRW02 26th September 2014
10:00 to 10:45
C Bernard Conditional Quantiles and Tail Dependence
SYRW02 26th September 2014
11:30 to 12:15
R Engle The Prospects for Global Financial Stability
SYR 1st October 2014
10:30 to 12:00
U Horst On some stochastic control problems arising in models of optimal portfolio liquidation: I
SYR 1st October 2014
14:00 to 15:30
U Horst On some stochastic control problems arising in models of optimal portfolio liquidation: II
SYRW05 8th October 2014
09:00 to 10:30
JM Lasry Mean Field Games and Applications in Economics and Finance I
SYRW05 8th October 2014
11:00 to 11:30
P Degond A kinetic theory view of mean field games and applications to economics
SYRW05 8th October 2014
11:30 to 11:45
Discussion
SYRW05 8th October 2014
11:45 to 12:15
R Cont Price dynamics in limit order markets: a multi-scale stochastic model and its hydrodynamic limit
SYRW05 8th October 2014
12:15 to 12:30
Discussion
SYRW05 8th October 2014
14:00 to 15:30
JM Lasry Mean Field Games and Applications in Economics and Finance II
SYRW05 8th October 2014
16:00 to 16:30
M-T Wolfram On a mean field model for knowledge growth
SYRW05 8th October 2014
16:30 to 17:00
J Carrillo Optimal transport, mean field games and gradient flows
SYRW05 8th October 2014
17:00 to 17:15
Discussion
SYRW05 8th October 2014
17:15 to 17:45
R Carmona The Master Equation for large population equilibria
SYR 15th October 2014
10:00 to 12:00
J-M Lasry Mean Field Games and Applications in Economics and Finance III
SYR 15th October 2014
14:00 to 15:00
C Chong Systemic Risk Modelling through SDEs in an Inhomogeneous Network
SYR 15th October 2014
15:00 to 16:00
S Borovkova The Role of News in Commodity and Equity Markets
SYR 22nd October 2014
10:30 to 11:30
J-C Rochet Simple Macroeconomic Models with a Banking Sector: I
SYR 22nd October 2014
14:00 to 15:00
J-C Rochet Simple Macroeconomic Models with a Banking Sector: II
SYR 22nd October 2014
16:00 to 17:00
P Kyle Large Bets and Stock Market Crashes
SYR 23rd October 2014
11:00 to 12:00
J-C Rochet Simple Macroeconomic Models with a Banking Sector: III
SYR 24th October 2014
10:00 to 12:00
A Nikeghbali Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables. I
SYR 24th October 2014
14:00 to 16:00
A Nikeghbali Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: II
SYR 29th October 2014
11:00 to 12:30
P Meliot Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: III
SYR 29th October 2014
14:00 to 15:30
P Meliot Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: IV
SYR 3rd November 2014
10:00 to 11:00
F Vega-Redondo Social coordination and social networks
SYR 3rd November 2014
14:00 to 15:00
S Goyal Conflict in social networks
SYR 4th November 2014
14:00 to 15:00
S Goyal Trading in networks
SYR 4th November 2014
15:00 to 16:00
F Vega-Redondo Epidemics in networks
SYR 5th November 2014
10:00 to 11:00
S Weber Monetary Risk Measures - A Short Review
SYR 5th November 2014
14:00 to 15:00
S Weber Measures of Systemic Risk
SYR 5th November 2014
15:00 to 16:00
C Aymanns The dynamics of the leverage cycle
SYR 6th November 2014
10:00 to 11:00
S Weber An Integrated Model of Systemic Risk in Financial Networks
SYR 18th November 2014
11:00 to 12:00
PH Dybvig Bank Runs, Deposit Insurance, and Liquidity: I
SYR 19th November 2014
11:00 to 12:00
H Ku Option Replication and Valuation in Illiquid Markets
SYR 19th November 2014
14:00 to 15:00
J Bonart Instabilities in economic network models: Is perfect rationality dynamically stable?
SYR 24th November 2014
16:00 to 17:00
R May Systemic Risk in Ecological and Financial Systems: Early Warnings?
SYR 26th November 2014
11:00 to 12:00
A McNeil Scenario Sets, Risk Measures and Stress Testing Part 1: Theory
SYR 26th November 2014
14:00 to 15:00
A McNeil Scenario Sets, Risk Measures and Stress Testing Part 2: Implementation
SYR 2nd December 2014
15:00 to 16:00
H Foellmer Mathematical Aspects of Local vs. Global Risk Analysis: I
SYR 3rd December 2014
11:00 to 12:00
H Foellmer Mathematical Aspects of Local vs. Global Risk Analysis: II
SYR 3rd December 2014
14:00 to 15:00
P Pin Revealing information - or not - in financial trading
SYR 9th December 2014
11:00 to 12:00
PH Dybvig Bank Runs, Deposit Insurance, and Liquidity: II
SYR 9th December 2014
14:00 to 15:00
A McNeil Backtesting and Elicitability Of Risk measures
SYR 9th December 2014
16:00 to 17:00
H Foellmer Rothschild Distinguished Visiting Fellow Lecture: Admitting Uncertainty: On the Role of Probability in Finance
SYR 10th December 2014
10:00 to 11:00
M Dempster Financial Innovation and Backward Stochastic Difference Equations
SYR 10th December 2014
14:00 to 15:00
P Pin Endogenous network topology in the interbank lending market
SYRW03 15th December 2014
09:30 to 10:15
T Adrian Intermediary Leverage Cycles and Financial Stability
SYRW03 15th December 2014
11:00 to 11:45
M Summer Endogenous Leverage and Asset Pricing in Double Auctions
SYRW03 15th December 2014
13:30 to 14:15
M Marsili A Systemic Indicator for the Size of Shadow Banking
SYRW03 15th December 2014
14:30 to 15:15
N Klimenko Tail Risk, Capital Requirements and the Internal Agency Problem in Banks
SYRW03 15th December 2014
16:00 to 16:45
E Faia Bank Networks: Contagion, Systemic Risk and Prudential Policy
SYRW03 16th December 2014
09:00 to 09:45
A Kashyap How does macroprudential regulation change bank credit supply?
SYRW03 16th December 2014
10:00 to 10:45
F Malherbe Opitmal Capital requirements over the Business and Financial Cycles
SYRW03 16th December 2014
11:30 to 12:15
E Schaanning Fire sales, endogenous risk and price-mediated contagion: modeling, monitoring and prudential policy
SYRW03 16th December 2014
14:00 to 15:00
T Adrian & P Dybvig & M Hellwig & D Tsomocos Macroprudential regulation
SYRW03 16th December 2014
15:30 to 16:15
G Iori Financial regulations and bank credit to the real economy
SYRW03 16th December 2014
16:15 to 17:00
S Luck Bank, Shadow Banking, and Fragility
SYRW03 17th December 2014
09:00 to 09:45
L Clerc Capital Regulation in a Macroeconomic Model with Three Layers of Default
SYRW03 17th December 2014
10:00 to 10:45
Y Sannikov Financial intermediaries in the theory of money
SYRW03 17th December 2014
11:30 to 12:15
M Hellwig Systemic Risk and Macroprudential regulation
SYRW03 17th December 2014
14:00 to 14:45
S Kapadia Taking uncertainty seriously: simplicity versus complexity in financial regulation
SYRW03 17th December 2014
15:30 to 17:00
R Cont & L Clerc & J Vickers & S Kapadia Regulating the financial network: the agenda for structural reform
SYRW03 18th December 2014
09:00 to 09:45
S Morris Illiquidty Component of Credit Risk
SYRW03 18th December 2014
10:00 to 10:45
D Skeie Information Management in Banking Crises
SYRW03 18th December 2014
11:30 to 12:15
S Ghamami Static Models of Central Counterparty Risk
SYRW03 18th December 2014
14:00 to 14:45
V Acharya Financial Sector Health Since 2007: A Comparative Analysis of the United States, Europe and Asia
SYRW03 18th December 2014
15:30 to 16:15
R Sowers Geometry of Defaults
SYRW03 18th December 2014
16:30 to 17:15
A Kirilenko Do U.S. Financial Regulators Listen to the Public? Testing the Regulatory Process with the RegRank algorithm
SYRW03 19th December 2014
09:00 to 09:45
A Milne Networks, subnetworks and macroprudential capital requirements
SYRW03 19th December 2014
10:00 to 10:45
B Meller BSLoss– a comprehensive measure for interconnectedness
SYRW03 19th December 2014
11:30 to 12:15
Z Feinstein Systemic Risk Measures for Financial Networks
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons