26 - 29 August 2014
Organisers: Darrell Duffie (Stanford), Paul Glasserman (Columbia) and Fernando Vega-Redondo (Bocconi)
in association with the Newton Institute programme Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches
(18 August - 19 December 2014)
Recent events have made it clear that financial risk can be "systemic" and hence it has to be understood and tackled as such. This means, in particular, that the impact of shocks or any disturbances on the financial sector of an economy cannot be assessed without relying on a global perspective of how its different institutions interact - both among themselves and with other agents in the economy. As a response to this new understanding of the problem, there has been a boom of fresh theoretical and empirical modelling that has taken the aforementioned network viewpoint.
These developments, however, require new mathematical and statistical tools, and must also build upon, and respond to, the latest insights and questions that practitioners and policy makers can bring forth from their recent experience. The workshop aims at contributing to advancing this multidisciplinary approach to the study of systemic risk by bringing together economic theorists, mathematicians, and physicists working on the problem, exposing them as well to the concerns and insights of financial practitioners.
The workshop will include four to five lectures per day, the aim being to leave ample time for interaction among all participants.
Invited speakers will include:
The Registration Package includes admission to all seminars, lunches and refreshments on the days that lectures take place (Tuesday – Friday), wine reception and conference dinner, but does not include other meals or accommodation.
The Accommodation Package includes a registration fee, bed and breakfast accommodation at Wolfson Court from the evening of Monday 25 August 2014 to breakfast on Saturday 30 August 2014, together with lunches and refreshments during the days that lectures take place (Tuesday – Friday). The conference dinner is also included, but no other evening meals.
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.
Lunch will be served at Wolfson Court in the Cafeteria from 12:30 to 13:30 on days that lectures take place.
Participants are free to make their own arrangements for dinner.
The Conference Dinner date, time and venue will be confirmed shortly. Participants on the Accommodation Package or Registration Package, including organisers and speakers, are automatically included in this event. All remaining participants are encouraged to attend at a charge (price TBC).