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Monitoring Systemic Risk: Data, Models and Metrics

22nd September 2014 to 26th September 2014

Organisers: Rama Cont (CNRS & Imperial College ), Michael Gordy (Federal Reserve Board) and Christian Gourieroux (CREST & University of Toronto)

Workshop Theme

In the wake of the recent financial crisis, the design of systems and indicators for the adequate monitoring of systemic risk in the financial system and the identification and collection of relevant data for computing such indicators has proven to be a major challenge for regulators. The forensic analysis of past financial crises, in order to identify the mechanisms at play in these events, has not been an easy task either. The design of relevant data reporting requirements cannot be reduced to a simple data collection exercise and requires a prior identification of the contagion mechanisms one would like to monitor. Thus, the design of monitoring systems calls for an interplay between theory and empirical research.

This 5-day workshop, organized as part of the Semester on Systemic Risk: Mathematical modeling and interdisciplinary approaches at the Isaac Newton Institute for Mathematical Sciences (Cambridge) will bring together experts from a diverse set of backgrounds –economists, statisticians, regulators, mathematicians- for discussing the state of the art of the measurement and monitoring of systemic risk, the design and relevance of systemic risk indicators, the type, granularity and frequency of data collection required for computing such indicators and the implications of these issues for data reporting, monitoring and regulation of financial institutions.

Topics of interest include:

  • Metrics and indicators for systemic risk and systemic importance
  • Monitoring channels of contagion
  • Repo markets and interbank lending
  • Early warning systems for financial instability
  • Data reporting for financial institutions and data warehouses
  • Designation and monitoring of Systematically Important Financial Institutions (SIFIs)
  • Empirical studies on structure and dynamics of financial networks
  • Forensic analysis of financial crises
  • Stability and monitoring of payment systems
  • Design and analysis of bank stress tests
  • OTC derivatives markets: Central Clearing, implications for financial stability

Publications

Workshop participants will be invited to submit contributions to

-a Special issue of the journal Operations Research devoted to “Systemic Risk: mathematical modeling and interdisciplinary approaches”
-a Special issue of the journal “Statistics and Risk Modeling” on “Monitoring systemic risk: data, models and metrics”
Submissions will undergo the regular refereeing processof the journals.

The special issues will appear in 2015.

 

Applications are now CLOSED

For further Information please contact the Programme and Visitor Officer

 

Fees

Registration Only
  • Registration Package: £230
  • Student Registration Package: £185

The Registration Package includes admission to all seminars, lunches and refreshments on the days that lectures take place (Monday – Friday), wine reception and formal dinner, but does not include other meals or accommodation.


Registration and Accommodation
  • Accommodation Package: £530

The Accommodation Package includes a registration fee, bed and breakfast accommodation at Wolfson Court from Sunday 21 September 2014 to breakfast on Saturday 27 September 2014, together with lunches and refreshments during the days that lectures take place (Monday – Friday). The formal dinner is also included, but no other evening meals.


Formal Dinner Only
  • Formal dinner: £50

Participants on the Accommodation Package or Registration Package, including organisers and speakers, are automatically included in this event. For all remaining participants who would like to attend, such as Visiting Fellows, programme participants or their guests, the above charge will apply.

Accommodation

The Accommodation Package includes bed and breakfast accommodation at Wolfson Court. Accommodation is in single study bedrooms with shared bathroom facilities.

Meals

Lunch

Lunch will be served at Wolfson Court in the Cafeteria from 12:30 to 13:30 on days that lectures take place.

  • Accommodation Package and Registration Package participants should present their badge as payment for their meal
  • Those issued with a blue Institute door entrance card can add money onto the card via the Porters' Lodge at Wolfson Court
  • Other participants must purchase their meal using their dining card via the Porters' Lodge (forms can be found on the registration desk or at the Porters' Lodge)

Evening Meal

Participants are free to make their own arrangements for dinner.


Formal Dinner

The Formal Dinner will take place at 19:30 on Wednesday 24 September at Cambridge Dining Company - Cambridge Union Society

Formal Dinner Menu

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