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Timetable (SYRW01)

Systemic Risk: Models and Mechanisms

Tuesday 26th August 2014 to Friday 29th August 2014

Tuesday 26th August 2014
08:30 to 08:50 Registration
08:50 to 09:00 Welcome from Christie Marr (INI Deputy Director)
09:00 to 09:30 A Lehar (University of Calgary)
Why are Banks Highly Interconnected?

Joint with A. David

 

We study optimal interconnections between banks in alternative banking systems created using interbank loans and over-the-counter derivatives. Settlements on all interbank payments are renegotiated in the event of financial distress of a counterparty. A high degree of interconnectectness plays a positive role as it commits counterparties to renegotiate claims to reduce dead weight liquidation costs in the system. We show that the renegotiable interbank loans form the optimal interconnection to the joint risk management and asset quality problem faced by the banks. In addition, our analysis shows that systemic spillovers and the likelihood of financial crises are severely mismeasured when interbank renegotiations are not considered. The optimality of interbank loans is shown to hold in a wide range of institutional settings.

INI 1
09:30 to 09:45 Discussion INI 1
09:45 to 10:15 M van der Leij (Universiteit van Amsterdam)
Liquidity hoarding in the interbank market: Evidence from Mexican interbank overnight loan and repo transactions

Over The Counter (OTC) markets are an essential part of modern financial systems. However, there are some aspects which have placed them at the center of current regulatory efforts at the international level. Among these markets, the unsecured and secured (repo) interbank markets have received substantial attention from the academia and financial authorities as they represent two of the most direct sources of liquidity for banks. In this paper we investigate if trading relationships are established between banks in the unsecured and the repo market in Mexico and if such borrowing and lending relationships are important in terms of costs during different economic conditions. Unlike other related previous works, we are able to identify with full precision individual transactions between banks both in the unsecured and the repo market for a long period of time. In Mexico, there exist regulatory reports which provide us with daily data with an important level of detail for these two OTC markets. We find evidence of liquidity hoarding. A negative external funding shock lead banks to lend less at the interbank market, except to banks with which it holds a trading relationship. In particular, banks that highly depend on external funding lend less when they are affected by a shock. Authors: Marco van der Leij (U Amsterdam), Serafin Martinez-Jaramillo, José Luis Molina-Borboa, Fabrizio López-Gallo (Banco de México)

INI 1
10:15 to 10:30 Discussion INI 1
10:30 to 11:00 Morning Coffee
11:00 to 11:30 G Halaj (European Central Bank)
Emergence of the EU Corporate Lending Network

Joint with U. Kochanska, C. Kok

 

This paper uses network formation techniques based on the theoretical framework of Halaj and Kok (2014) to construct networks of lending relationships between a large sample of banks and non-financial corporations in the EU. Networks of bank-firm lending relationships provide an alternative approach to studying real-financial linkages, which takes into account the heterogeneous characteristics of individual banks and firms on the propagation of shocks between the financial sector and the real economy. One particular strength of the model is related to the fact that the proposed framework provides an assessment not only of how banks are directly related to each other in the interbank market but also how they may be indirectly related (due to common exposures) via their corporate lending relationships. The model can be used to conduct counter-factual simulations of the contagion effects arising when individual or groups of banks and firms are hit by shocks. This could allow policy makers to gauge specific vulnerabilities in the financial system evolving around the lending relationships between banks and their (corporate) borrowers.

INI 1
11:30 to 11:45 Discussion INI 1
11:45 to 12:15 JD Farmer (University of Oxford)
Dynamics of the Leverage Cycle

We investigate the leverage cycle in the context of several different models, ranging from more realistic agent-based models to simple reduced form models with minimal assumptions. These models build on earlier work on the leverage cycle but in a more explicit dynamic context. They make it clear how managing a portfolio with a leverage target automatically gives rise to endogenous dynamics, coupling leverage and volatility and inducing chaotic oscillations driving clustered volatility and heavy tailed risk. As one moves from countercyclical to procyclical leverage, or from longer time horizons to shorter time horizons, volatility increases and stability decreases. Policies such as Basel II and III can have unintended consequences; while they can be effective for a single investor acting alone, when all investors use them they can be destabilizing. I will also discuss the relationship to the problem in the network context, where the same principle applies, i.e., diversification of risk by individuals often creates systemic risk. Finally, I will discuss possible stabilizing policies, such as impact-adjusted accounting.

INI 1
12:15 to 12:30 Discussion INI 1
12:30 to 13:30 Lunch at Wolfson Court
14:30 to 15:00 N Boyarchenko (Federal Reserve Bank of New York)
Intermediary Leverage Cycles and Financial Stability

We present a theory of financial intermediary leverage cycles within a dynamic model of the macroeconomy. Intermediaries face risk based funding constraints that give rise to procyclical leverage and a procyclical share of intermediated credit. The pricing of risk varies as a function of intermediary leverage, and asset return exposures to intermediary leverage shocks earn a positive risk premium. Relative to an economy with constant leverage, financial intermediaries generate higher consumption growth and lower consumption volatility in normal times, at the cost of endogenous systemic financial risk. The severity of systemic crisis depends on intermediaries' leverage and net worth. Regulations that tighten funding constraints affect the systemic risk-return trade-off by lowering the likelihood of systemic crises at the cost of higher pricing of risk. When the regulator’s tool-kit is expanded to include a liquidity ratio, liquidity requirements are preferable to capital requirements, as tightening liquidity requirements lowers the likelihood of systemic distress without impairing consumption growth. Finally, we show that in a model with two types of intermediaries – a “bank” facing risk-based constraints and a “fund” facing skin-in-the-game constraints – bank sector growth leads total financial sector asset growth, while growth of the fund sector does not, which is a feature we confirm in the data.

INI 1
15:00 to 15:15 Discussion INI 1
15:15 to 15:45 SR Kapadia (Bank of England)
Financial Networks, Systemic Risk and Macroprudential Policy
This talk will outline how a network approach to systemic risk which draws on epidemiological and ecological techniques can shed light on contagion in financial systems. Highlighting results from a few different models, it will explain how such an approach can be used to help understand the causes and dynamics of some aspects of the global financial crisis. And it will draw out lessons for policy, explaining how a macroprudential approach towards regulation may be important in containing systemic risk.
INI 1
15:45 to 16:00 Discussion INI 1
16:00 to 16:15 Afternoon Tea
16:15 to 16:45 E Carletti (Università Bocconi)
Government Guarantees and Financial Stability

Joint with F. Allen, I. Goldstein, and A. Leonello

 

We analyze the trade-offs involved in the introduction of government guarantees in a context where panic and fundamental crises can occur, and both banks' and depositors' decisions are endogenously determined. A scheme against bank illiquidity eliminates panic runs and does not entail any disbursement for the government. By contrast, a scheme protecting depositors also against bank insolvency entails a disbursement for the government and leads to distortions both in the bank's choice of the optimal deposit contract and in government's choice of the optimal guarantees. Yet, we show that the latter scheme may achieve higher social welfare since it reduces significantly the probability of runs.

INI 1
16:45 to 17:00 Discussion INI 1
17:00 to 18:00 Welcome Wine Reception
Wednesday 27th August 2014
09:00 to 09:30 M Farboodi (Princeton University)
Intermediation and Voluntary Exposure to Counterparty Risk

I develop a model of the financial sector in which endogenous intermediation among debt financed banks generates excessive systemic risk. Financial institutions have incentives to capture intermediation spreads through strategic borrowing and lending decisions. By doing so, they tilt the division of surplus along an intermediation chain in their favor, while at the same time reducing aggregate surplus. I show that a core-periphery network -- few highly interconnected and many sparsely connected banks -- endogenously emerges in my model. The network is inefficient relative to a constrained efficient benchmark since banks who make risky investments "overconnect", exposing themselves to excessive counterparty risk, while banks who mainly provide funding end up with too few connections. The predictions of the model are consistent with empirical evidence in the literature.

INI 1
09:30 to 09:45 Discussion INI 1
09:45 to 10:15 TR Hurd (McMaster University)
Random Financial Networks and Locally Treelike Independence

Exact results in percolation theory on random graphs rely on a property known as the "tree ansatz'', which is known to be asymptotically true on the family on configuration graphs. More generally, the tree ansatz, also called mean field theory, can be used as the basis of approximations, which as numerous authors have remarked, can be surprisingly accurate. The question arises whether the tree ansatz can be useful for understanding financial systemic risk. In this talk, I will review the concepts underlying the tree ansatz, and explore how it can be embedded and used in models of financial contagion, such as the Eisenberg-Noe model and its alternatives. Along the way, I will propose definitions for "random financial network'' (RFN) and "locally treelike independence'' (LTI), and explore these definitions' mathematical consequences. In the end I will compare analytical approximations to Monte Carlo computations in some realistic network cascade examples, and show that there are indeed situations where the LTI approximation is "surprisingly" accurate. This provides some evidence that understanding of networks in other domains can help us in understanding financial networks.

INI 1
10:15 to 10:30 Discussion INI 1
10:30 to 11:00 Morning Coffee
11:00 to 11:30 I van Lelyveld (BIS)
Motifs in International Banking Networks

The financial crisis clearly illustrated the importance of characterizing the level of 'systemic' risk associated with an entire credit network, rather than with single banks or banking systems. However, the interplay between financial distress and topological changes is still poorly understood. We build on earlier work where we analyzed interbank exposures among Dutch banks over the period 1998-2008, ending with the crisis. After controlling for the link density, we found that many topological properties display an abrupt change in 2008, providing a clear - but unpredictable - signature of the crisis. By contrast, if the heterogeneity of banks' connectivity is controlled for, the same properties show a gradual transition to the crisis, starting in 2005 and preceded by an even earlier period during which anomalous debt loops could have led to the underestimation of counter-party risk. These early-warning signals are undetectable if the network is reconstructed from partial bank-specific data, as routinely done. We now apply this methodology to cross border interbank linkages using confidential data collected by the Bank for International Settlements. Our aim is to 1) confirm our earlier results and 2) extend the methodology to handle weighted networks.

INI 1
11:30 to 11:45 Discussion INI 1
11:45 to 12:15 S Battiston (Universität Zürich)
Market Procyclicality and Systemic Risk
We model the systemic risk associated with the so-called balance-sheet amplica- tion mechanism in a system of banks with interlocked balance sheets and with posi- tions in real-economy-related assets. Our modeling framework integrates a stochas- tic price dynamics with an active balance-sheet management aimed to maintain the Value-at-Risk at a target level. We nd that a strong compliance with capi- tal requirements, usually alleged to be procyclical, does not increase systemic risk unless the asset market is illiquid. Conversely, when the asset market is illiquid, even a weak compliance with capital requirements increases signicantly systemic risk. Our ndings have implications in terms of possible macro-prudential policies to mitigate systemic risk.
INI 1
12:15 to 12:30 Discussion INI 1
12:30 to 13:30 Lunch at Wolfson Court
14:30 to 15:00 A Tahbaz-Salehi (Columbia University)
Intermediation and Systemic Risk in the Repo Market
Joint with M. di Maggio

In this paper, we focus on the financial institutions' role as intermediaries between cash lenders (e.g. money market funds) and borrowers (e.g. hedge funds). We show that, by charging a haircut, lenders can discipline the investment choices of all the participants in the market-even those with whom they are not directly contracting. However, haircuts can also work as a propagation mechanism among financial institutions: idiosyncratic shocks can be amplified over the network of interbank relationships, up to the point that the market freezes and its intermediation capacity collapses.
INI 1
15:00 to 15:15 Discussion INI 1
15:15 to 15:30 Afternoon Tea
15:30 to 17:00 D Murphy & G Handjinicolaou & D McLaughlin & A (TBC) Lipton ([Panel Session])
Central Clearing of OTC derivatives
Darrell Duffie (Stanford University)

George Handjinicolaou (ISDA)

Alexander Lipton (Bank of America) [to be confirmed]

Dennis McLaughlin (LCH Clearnet)

David Murphy (Bank of England)

This panel discussion will focus on systemic risk issues arising from the central clearing of over-the-counter derivatives. These issues may include default management resources and processes, the failure resolution of CCPs, planning for CCP service continuity or discontinuity, the liquidity of CCP default management resources, transparency of CCPs, supervision and regulation of CCPs (including cross-border issues), cross-CCP access by market participants, and a range of CCP risk management issues such as clearing membership requirements, voluntary and forced member resignations, criteria for approval of cleared products, initial margin requirements, and cross-silo risks. The panel includes experts from derivatives dealers, central clearing party operators, and financial regulators. An active discussion will include questions addressed to the panel from the floor.

INI 1
Thursday 28th August 2014
09:00 to 09:30 D Filipovic (EPFL - Ecole Polytechnique Fédérale de Lausanne)
Systemic Risk and Central Counterparty Clearing

This paper studies financial networks in a stochastic framework. We apply a coherent systemic risk measure to examine the effects on systemic risk and liquidation losses of multilateral clearing via a central clearing counterparty (CCP). We find that a CCP always improves banks' surplus, and reduces banks' liquidation and shortfall losses. In return, the CCP introduces tail risk, which can lead to higher systemic risk. We provide sufficient conditions in terms of the CCP's fee and guarantee fund policy for a reduction of systemic risk. In a numerical example we find that feasible Pareto optimal fee and guarantee fund policies come along with reduced systemic risk. This is joint work with Hamed Amini and Andreea Minca.

INI 1
09:30 to 09:45 Discussion INI 1
09:45 to 10:15 P Gottardi (European University Institute)
Risk-Sharing and Contagion in Networks

Joint with A. Cabrales & F. Vega-Redondo

 

We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs resulting from an increased risk exposure. We find that when the shock distribution displays "fat tails," extreme segmentation into small components is optimal, while minimal segmentation and high density of connections are optimal when the distribution exhibits \thin" tails. For less regular distributions, intermediate degrees of segmentation and sparser connections are optimal. Also, if firms are heterogeneous, optimality requires perfect assortativity in a component. In general, however, a conflict arises between efficiency and pairwise stability, due to a "size externality" not internalized by firms.

INI 1
10:15 to 10:30 Discussion INI 1
10:30 to 11:00 Morning Coffee
11:00 to 11:30 TM Eisenbach (Federal Reserve Bank of New York)
Fire-Sale Spillovers and Systemic Risk

Joint with F. Duarte

 

We construct a new systemic risk measure that quantifies vulnerability to firesale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For commercial banks, a 1 percent exogenous shock to assets in 2013-Q1 produces fire sale externalities equal to 19 percent of system capital. For broker-dealers, a 1 percent shock to assets in August 2013 generates spillover losses equivalent to almost 23 percent of system capital. Externalities during the last financial crisis are between two and three times larger. Our systemic risk measure reaches a peak in the fall of 2007 but shows a notable increase starting in 2004, ahead of many other systemic risk indicators. Although the largest banks and broker-dealers produce - and are victims of - most of the externalities, leverage and linkages of financial institutions also play important roles.

INI 1
11:30 to 11:45 Discussion INI 1
11:45 to 12:15 N Chen (Chinese University of Hong Kong)
Modeling Financial Systemic Risk- the Network Effect and the Market Liquidity Effect

Financial institutions are interconnected directly by holding debt claims against each other (the network channel), and they are also bound by the market liquidity in selling assets to meet debt liabilities when facing distress (the liquidity channel). The goal of our study is to investigate how these two channels of risk interact to propagate individual defaults to a system-wide catastrophe. We formulate the model as an optimization problem with equilibrium constraints and derive a partition algorithm to solve for the market- clearing equilibrium. The solutions so obtained enables us to identify two factors, the network multiplier and the liquidity amplifier, to characterize the contributions of these two channels to financial systemic risk, whereby we can acquire better understanding of the effectiveness of several policy interventions. The analysis behind the algorithm yields estimates for the contagion probability on the basis of the market value of the institutions' net worths, underscoring the importance of equity capital as a cushion against systemic shocks in the presence of the liquidity channel. The optimization formulation also provides more structural insights to allow us to extend the study of systemic risk to a system with debts of different seniorities, and meanwhile presents a close connection to the literature of stochastic networks. Finally, we illustrate the impacts of the network and the liquidity channels- in particular, the significance of the latter -in the formation of systemic risk with data on the European banking system.

INI 1
12:15 to 12:30 Discussion INI 1
12:30 to 13:30 Lunch at Wolfson Court
14:30 to 15:00 M Gofman (University of Wisconsin-Madison)
Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions

How to regulate large interconnected financial institutions has become a key policy question. To make the financial architecture more stable regulators have proposed to limit the size and connections of these institutions. I calibrate a network-based model of an over-the-counter market and infer the hidden financial architecture based on bilateral trades in the Federal funds market. A comparison of the calibrated architecture to nine counterfactual architectures reveals that that efficiency of liquidity allocation decreases and the risk of endogenous contagion increases non-monotonically as banks face limits on the number of trading partners. I also find that in a less concentrated architecture more banks trigger a large cascade of failures, and it is more difficult to identify these banks ex-ante. Overall, my results suggest it is not optimal to restrict the number of connections of too-interconnected-to-fail banks because it can result in a financial architecture that is less efficient, more fragile, and harder to monitor.

INI 1
15:00 to 15:15 Discussion INI 1
15:15 to 15:45 RM Bookstaber (Office of Financial Research at U.S. Department of Treasury)
An Agent-Based Model for Financial Vulnerability

This paper describes an agent-based model for analyzing the vulnerability of the financial system to asset- and funding-based fire sales. The model views the dynamic interactions of agents in the financial system extending from the suppliers of funding through the intermediation and transformation functions of the Bank/Dealer to the financial institutions that use the funds to trade in the asset markets, and that pass collateral in the opposite direction. The model focuses on the intermediation functions of the Bank/Dealers in order to trace the path of shocks that come from sudden price declines, as well as shocks that come from the various agents, namely funding restrictions imposed by the cash providers, erosion of the credit of the Bank/Dealers, and investor redemptions by the buy-side financial institutions. By building on a detailed mapping of the transformations and dynamics of the financial system, the agent-based model provides an avenue toward risk management that can trace out the pathways of key crisis dynamics such as fire sales and funding runs.

INI 1
15:45 to 16:00 Discussion INI 1
16:00 to 16:15 Afternoon Tea
16:15 to 16:45 S Weber (Leibniz Universität Hannover)
Measures of Systemic Risk

Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of this type of risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions. The talk proposes a novel approach to measuring systemic risk.

 

Key to our construction is the philosophy that there is no distinction between risk and capital requirements, as recently described in Artzner, Delbaen & Koch-Medina (2009). Such an approach is ideal for regulatory purposes. The suggested systemic risk measures express systemic risk in terms of capital endowments of the financial firms. These endowments constitute the eligible assets of the procedure. Acceptability is defined in terms of cash flows to the entire society and specified by a standard acceptance set of an arbitrary scalar risk measure. Random cash flows can be derived conditional on the capital endowments of the firms within a large class of models of financial systems. These may include both local and global interaction. The resulting systemic risk measures are set-valued and allow a mathematical analysis on the basis of set-valued convex analysis.

We explain the conceptual framework and the definition of systemic risk measures, provide algorithms for their computation, and illustrate their application in numerical case studies - e.g. in the network models of Eisenberg & Noe (2001), Cifuentes, Shin & Ferrucci (2005), and Amini, Filipovic & Minca (2013).

This is joint work with Zachary G. Feinstein (Washington University in St. Louis) and Birgit Rudloff (Princeton University).

INI 1
16:45 to 17:00 Discussion INI 1
19:30 to 22:00 Conference Dinner at Christ's College
Friday 29th August 2014
09:00 to 09:30 M Elliott (CALTECH (California Institute of Technology))
Financial Networks and Contagion

Joint with B. Golub and M. Jackson

 

We model financial contagions and cascades of defaults among organizations that have a network of cross holdings. We first identify a network-based measure that captures the impact of changes in one organization's value on other organizations' values. We use the measure to study both integration (the increasing of cross holdings) and diversification (the spreading out of cross holdings). We show that diversification initially increases the probability and extent of cascades as a network of interdependencies grows, and eventually the probability and extent of cascades decreases once organizations become less tied to specific other organizations. Integration also faces tradeoffs: increased dependence on other organizations versus less sensitivity to own investments. We briefly discuss incentives to seek bailouts, and associated moral-hazard issues. We also show that once an organization approaches a bankruptcy threshold, there are no trades of cross holdings or assets at fair prices that can lower the probability of its failure, and that unduly favorable trades for that organization and/or a direct injection of capital are necessitated. Finally, we illustrate some aspects of the model with European debt cross holdings.

INI 1
09:30 to 09:45 Discussion INI 1
09:45 to 10:15 H Amini (EPFL - Ecole Polytechnique Fédérale de Lausanne)
Default Cascades in Financial Networks

Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in a large financial network and give an analytical expression for the asymptotic fraction of defaults, in terms of network characteristics. Our results extend previous studies on contagion in random graphs to inhomogeneous directed graphs with a given degree sequence and arbitrary distribution of weights. We introduce a criterion for the resilience of a large financial network to the insolvency of a small group of financial institutions and quantify how contagion amplifies small shocks to the network. Our results emphasize the role played by 'contagious links' and show that institutions which contribute most to network instability in case of default have both large connectivity and a large fraction of contagious links. The asymptotic results show good agreement with simulations for networks with realistic sizes. This is joint work with Rama Cont and Andreea Minca.

INI 1
10:15 to 10:30 Discussion INI 1
10:30 to 11:00 Morning Coffee
11:00 to 11:30 C-P Georg (University of Cape Town)
A Network View on Interbank Liquidity
Joint with S. Gabrieli

We use a novel dataset on all interbank money market transactions settled via the Eurosystem's payment system TARGET2 to study the liquidity allocation among European banks around the Lehman insolvency. We show that a freeze occured only in the term segment of the market. Using global and local network measures we characterize this freeze as a network shrinking process. We show that a bank's network position within the market has a significant impact on its lending and borrowing activity post-Lehman. Taking the network structure into account is therefore essential in understanding the reaction of the money market to adverse shocks.

INI 1
11:30 to 11:45 Discussion INI 1
11:45 to 12:15 A Minca (Cornell University)
Control of interbank contagion under partial information

Co-authors: Hamed Amini (EPFL), Agnes Sulem (INRIA)

 

We consider a stylized core-periphery financial network in which links lead to the creation of projects in the outside economy but make banks prone to contagion risk. The controller seeks to maximize, under budget constraints, the value of the financial system defined as the total amount of external projects. Under partial information on interbank links, revealed in conjunction with the spread of contagion, the optimal control problem is shown to become a Markov decision problem. We find the optimal intervention policy using dynamic programming.

Our numerical results show that the value of the system depends on the connectivity in a non-monotonous way: it first increases with connectivity and then decreases with connectivity. The maximum value attained depends critically on the budget of the controller and the availability of an adapted intervention strategy. Moreover, we show that for highly connected systems, it is optimal to increase the rate of intervention in the peripheral banks rather than in core banks.

INI 1
12:15 to 12:30 Discussion INI 1
12:30 to 13:30 Lunch at Wolfson Court
13:30 to 14:00 P Young (University of Oxford)
How Likely is Contagion in Financial Networks?
Joint with P. Glasserman

Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system. We estimate the extent towhich interconnections increase expected losses and defaults under a wide range of shock distributions. In contrast to most work on financial networks, we assume only minimal information about network structure and rely instead on information about the individual institutions that are the nodes of the network. The key node-level quantities are asset size, leverage, and a financial connectivity measure given by the fraction of a financial institution's liabilities held by other financial institutions. We combine these measures to derive explicit bounds on the potential magnitude of network effects on contagion and loss amplification. Spillover effects are most significant when node sizes are heterogeneous and the originating node is highly leveraged and has high financial connectivity. Our results also highlight the importance of mechanisms that go beyond simple spillover effects to magnify shocks; these include bankruptcy costs, and mark-to-market losses resulting from credit quality deterioration or a loss of confidence. We illustrate the results with data on the European banking system.
INI 1
14:00 to 14:15 Discussion INI 1
14:15 to 16:00 R Cont & P Glasserman & F Vega-Redondo ([Panel Session])
Systemic Risk: Models and Mechanisms
C Rogers (University of Cambridge)

R Cont (Imperial College London/CNRS)

P Glasserman (Columbia University)

F Vega-Redondo (Bocconi University)

INI 1
University of Cambridge Research Councils UK
    Clay Mathematics Institute The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons