Systemic risk: mathematical modelling and interdisciplinary approaches

Programme theme

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.

INI gratefully acknowledges significant support for this programme from

Old Mutual Plc

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.

Click here to download the programme's final scientific report

Preprints

Title	Year	Programme
https://ssrn.com/abstract=2541114 Authors: Rama Cont, Eric Schaanning Download PDF	2014	SYR	2 March 2017
Risk management for whales Authors: Lakshithe Wagalath, Rama Cont Download PDF	2014	SYR	2 March 2017
Credit default swaps and systemic risk Authors: Rama Cont, Andrea Minca Download PDF	2014	SYR	21 October 2016
Systemic risk and centralized clearing of OTC derivatives: a network approach Authors: S Borovkova, H Laloui El Mouttalibi Download PDF	2014	SYR	21 October 2016
Mod-Gaussian convergence and its applications for models of statistical mechanics Authors: P Meliot, A Nikeghbali Download PDF	2014	SYR	21 October 2016
The circular unitary ensemble and the Riemann zeta function: the microscopic landscape Authors: R Chhaibi, J Najnudel, A Nikeghbali Download PDF	2014	SYR	21 October 2016
Inhomogeneous financial networks and contagious links Authors: H Amini, Andrea Minca Download PDF	2014	SYR	21 October 2016
The net worth trap: investment and output dynamics in the presence of financing constraints Authors: J Isohatala, A Milne, D Robertson Download PDF	2014	SYR	21 October 2016
Leverage constraints and real interest rates Authors: J Isohatala, F Kusmartsev, A Milne, D Robertson Download PDF	2014	SYR	21 October 2016
The axiomatic approach to risk measures for capital determination Authors: H Follmer, S Weber Download PDF	2014	SYR	21 October 2016
Valuation of claims with price impact function and liquidity costs Authors: H Ku, H Zhang Download PDF	2014	SYR	21 October 2016
Capital regulation in a microeconomic model with three layers of default Authors: L Clerc, A Derviz, C Mendicino, S Moyen, K Nikolov, ET Al Download PDF	2014	SYR	21 October 2016
To fully net or not to net: adverse effects of partial multilateral netting Authors: H Amini, Damir Filipovic, Andrea Minca Download PDF	2014	SYR	21 October 2016
Cascades in multiplex financial networks with debts of different seniority Authors: CD Brummitt, T Kobayashi Download PDF	2014	SYR	21 October 2016
Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banks Authors: A Lipton Download PDF	2014	SYR	21 October 2016

Workshops

SYRW01

Seminars

Friday 22nd August 2014
09:00 to 09:45	Network structure and central clearing in the CDS market	Room 2
09:45 to 10:00	Discussion	Room 2
10:00 to 10:45	The formation of a core periphery structure in heterogeneous financial networks	Room 2
10:45 to 11:00	Discussion	Room 2
11:00 to 11:30	Break	No Room Required
11:30 to 12:15	Systemic risk through contagion in a core-periphery structured banking network	Room 2
12:15 to 12:30	Discussion	Room 2

Tuesday 26th August 2014
08:30 to 08:50	Registration	No Room Required
08:50 to 09:00	Welcome from Christie Marr (INI Deputy Director)	No Room Required
09:30 to 09:45	Discussion	Room 1
10:15 to 10:30	Discussion	Room 1
10:30 to 11:00	Morning Coffee	No Room Required
11:30 to 11:45	Discussion	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
15:00 to 15:15	Discussion	Room 1
15:15 to 15:45	Financial Networks, Systemic Risk and Macroprudential Policy	Room 1
15:45 to 16:00	Discussion	Room 1
16:00 to 16:15	Afternoon Tea	No Room Required
16:45 to 17:00	Discussion	Room 1
17:00 to 18:00	Welcome Wine Reception	No Room Required

Wednesday 27th August 2014
09:30 to 09:45	Discussion	Room 1
10:15 to 10:30	Discussion	Room 1
10:30 to 11:00	Morning Coffee	No Room Required
11:30 to 11:45	Discussion	Room 1
11:45 to 12:15	Market Procyclicality and Systemic Risk	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:30 to 15:00	Intermediation and Systemic Risk in the Repo Market	Room 1
15:00 to 15:15	Discussion	Room 1
15:15 to 15:30	Afternoon Tea	No Room Required
15:30 to 17:00	Central Clearing of OTC derivatives	Room 1

Thursday 28th August 2014
09:30 to 09:45	Discussion	Room 1
10:15 to 10:30	Discussion	Room 1
10:30 to 11:00	Morning Coffee	No Room Required
11:30 to 11:45	Discussion	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
15:00 to 15:15	Discussion	Room 1
15:45 to 16:00	Discussion	Room 1
16:00 to 16:15	Afternoon Tea	No Room Required
16:45 to 17:00	Discussion	Room 1
19:30 to 22:00	Conference Dinner at Christ's College	No Room Required

Friday 29th August 2014
09:30 to 09:45	Discussion	Room 1
10:15 to 10:30	Discussion	Room 1
10:30 to 11:00	Morning Coffee	No Room Required
11:00 to 11:30	A Network View on Interbank Liquidity	Room 1
11:30 to 11:45	Discussion	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:00 to 14:15	Discussion	Room 1
14:15 to 16:00	Systemic Risk: Models and Mechanisms	Room 1

Wednesday 3rd September 2014
11:00 to 12:00	Asset correlation and network fragility: How should we intervene?	Room 2

Tuesday 9th September 2014
10:30 to 12:00	Over the Counter Markets (1)	Room 1
14:00 to 15:30	Over the Counter Markets (2)	Room 1

Wednesday 10th September 2014
11:00 to 12:00	Systemic risk in large claims insurance markets with bipartite graph structure	Room 2

Wednesday 17th September 2014
14:00 to 15:00	The true cost of OTC derivatives	Room 2

Monday 22nd September 2014
10:30 to 11:15	Registration	No Room Required
11:15 to 11:30	Welcome from Christie Marr (INI Deputy Director) and Introduction from Rama Cont (Imperial College)	Room 1
11:30 to 12:15	Systemic Risk, Macroprudential Supervision and Regulation	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:45 to 15:00	Discussion	Room 1
15:00 to 15:30	Afternoon Tea	No Room Required
16:15 to 16:30	Discussion	Room 1
16:30 to 17:15	Filling in the Blanks: Network Structure and Interbank Contagion	Room 1
17:15 to 17:30	Discussion	Room 1
17:30 to 18:30	Welcome Wine Reception	No Room Required

Tuesday 23rd September 2014
09:45 to 10:00	Discussion	Room 1
10:45 to 11:00	Discussion	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:15	Margining with Multiple Central Counterparties	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:45 to 15:00	Discussion	Room 1
15:00 to 15:30	Afternoon Tea	No Room Required
16:15 to 16:30	Discussion	Room 1
16:30 to 17:15	Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence	Room 1
17:15 to 17:30	Discussion	Room 1

Wednesday 24th September 2014
09:45 to 10:00	Discussion	Room 1
10:45 to 11:00	Discussion	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:15	Funding liquidity from a regulatory perspective	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:00 to 14:45	Liquidity spillovers in the German banking system	Room 1
14:45 to 15:00	Discussion	Room 1
15:00 to 15:30	Afternoon Tea	No Room Required
15:30 to 16:15	Measuring Systemic Illiquidity and Optimal Policy Options: A Dynamic Approach	Room 1
16:15 to 16:30	Discussion	Room 1
17:15 to 17:30	Discussion	Room 1
19:30 to 22:00	Conference Dinner at Cambridge Union Society hosted by Cambridge Dining Co.	No Room Required

Thursday 25th September 2014
09:45 to 10:00	Discussion	Room 1
10:45 to 11:00	Discussion	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:45 to 15:00	Discussion	Room 1
15:00 to 15:30	Afternoon Tea	No Room Required

Friday 26th September 2014
09:45 to 10:00	Discussion	Room 1
10:45 to 11:00	Discussion	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required

Wednesday 1st October 2014
10:30 to 12:00	On some stochastic control problems arising in models of optimal portfolio liquidation: I	Room 2
14:00 to 15:30	On some stochastic control problems arising in models of optimal portfolio liquidation: II	Room 2

Wednesday 8th October 2014
09:00 to 10:30	Mean Field Games and Applications in Economics and Finance I	Room 1
10:30 to 11:00	Coffee Break	No Room Required
11:00 to 11:30	A kinetic theory view of mean field games and applications to economics	Room 1
11:30 to 11:45	Discussion	Room 1
11:45 to 12:15	Price dynamics in limit order markets: a multi-scale stochastic model and its hydrodynamic limit	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch	No Room Required
14:00 to 15:30	Mean Field Games and Applications in Economics and Finance II	Room 1
15:30 to 16:00	Coffee Break	No Room Required
16:00 to 16:30	On a mean field model for knowledge growth	Room 1
16:30 to 17:00	Optimal transport, mean field games and gradient flows	Room 1
17:00 to 17:15	Discussion	Room 1
17:15 to 17:45	The Master Equation for large population equilibria	Room 1

Wednesday 15th October 2014
10:00 to 12:00	Mean Field Games and Applications in Economics and Finance III	Room 1
14:00 to 15:00	Systemic Risk Modelling through SDEs in an Inhomogeneous Network	Room 2
15:00 to 16:00	The Role of News in Commodity and Equity Markets	Room 2

Wednesday 22nd October 2014
10:30 to 11:30	Simple Macroeconomic Models with a Banking Sector: I	Room 1
14:00 to 15:00	Simple Macroeconomic Models with a Banking Sector: II	Room 1
16:00 to 17:00	Large Bets and Stock Market Crashes	Room 1

Thursday 23rd October 2014
11:00 to 12:00	Simple Macroeconomic Models with a Banking Sector: III	Room 2

Friday 24th October 2014
10:00 to 12:00	Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables. I	Room 1
14:00 to 16:00	Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: II	Room 1

Wednesday 29th October 2014
11:00 to 12:30	Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: III	Room 2
14:00 to 15:30	Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: IV	Room 2

Monday 3rd November 2014
10:00 to 11:00	Social coordination and social networks	Room 2
14:00 to 15:00	Conflict in social networks	Room 2

Tuesday 4th November 2014
14:00 to 15:00	Trading in networks	Room 2
15:00 to 16:00	Epidemics in networks	Room 2

Wednesday 5th November 2014
10:00 to 11:00	Monetary Risk Measures - A Short Review	Room 2
14:00 to 15:00	Measures of Systemic Risk	Room 2
15:00 to 16:00	The dynamics of the leverage cycle	Room 2

Thursday 6th November 2014
10:00 to 11:00	An Integrated Model of Systemic Risk in Financial Networks	Room 2

Wednesday 12th November 2014
14:00 to 15:00	SYR Seminar	Room 2

Tuesday 18th November 2014
11:00 to 12:00	Bank Runs, Deposit Insurance, and Liquidity: I	Room 2

Wednesday 19th November 2014
11:00 to 12:00	Option Replication and Valuation in Illiquid Markets	Room 2
14:00 to 15:00	Instabilities in economic network models: Is perfect rationality dynamically stable?	Room 2

Monday 24th November 2014
16:00 to 17:00	Systemic Risk in Ecological and Financial Systems: Early Warnings?	Room 1

Wednesday 26th November 2014
11:00 to 12:00	Scenario Sets, Risk Measures and Stress Testing Part 1: Theory	Room 2
14:00 to 15:00	Scenario Sets, Risk Measures and Stress Testing Part 2: Implementation	Room 2

Tuesday 2nd December 2014
15:00 to 16:00	Mathematical Aspects of Local vs. Global Risk Analysis: I	Room 2

Wednesday 3rd December 2014
11:00 to 12:00	Mathematical Aspects of Local vs. Global Risk Analysis: II	Room 2
14:00 to 15:00	Revealing information - or not - in financial trading	Room 2

Tuesday 9th December 2014
11:00 to 12:00	Bank Runs, Deposit Insurance, and Liquidity: II	Room 2
14:00 to 15:00	Backtesting and Elicitability Of Risk measures	Room 1
16:00 to 17:00	Rothschild Distinguished Visiting Fellow Lecture: Admitting Uncertainty: On the Role of Probability in Finance	Room 1

Wednesday 10th December 2014
10:00 to 11:00	Financial Innovation and Backward Stochastic Difference Equations	Room 2
14:00 to 15:00	Endogenous network topology in the interbank lending market	Room 2

Monday 15th December 2014
09:00 to 09:20	Registration	No Room Required
09:20 to 09:30	Welcome from Christie Marr (INI Deputy Director)	Room 1
10:15 to 10:30	Discussion	Room 1
10:30 to 11:00	Morning Coffee	No Room Required
11:00 to 11:45	Endogenous Leverage and Asset Pricing in Double Auctions	Room 1
11:45 to 12:00	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
13:30 to 14:15	A Systemic Indicator for the Size of Shadow Banking	Room 1
14:15 to 14:30	Discussion	Room 1
14:30 to 15:15	Tail Risk, Capital Requirements and the Internal Agency Problem in Banks	Room 1
15:15 to 15:30	Discussion	No Room Required
15:30 to 16:00	Afternoon Tea	No Room Required
16:00 to 16:45	Bank Networks: Contagion, Systemic Risk and Prudential Policy	Room 1
16:45 to 17:00	Discussion	Room 1
17:00 to 18:00	Welcome Wine Reception	No Room Required

Tuesday 16th December 2014
09:00 to 09:45	How does macroprudential regulation change bank credit supply?	Room 1
09:45 to 10:00	Discussion	Room 1
10:00 to 10:45	Opitmal Capital requirements over the Business and Financial Cycles	Room 1
10:45 to 11:00	Discussion	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:15	Fire sales, endogenous risk and price-mediated contagion: modeling, monitoring and prudential policy	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:00 to 15:00	Macroprudential regulation	Room 1
15:00 to 15:30	Afternoon Tea	No Room Required
15:30 to 16:15	Financial regulations and bank credit to the real economy	Room 1
16:15 to 17:00	Bank, Shadow Banking, and Fragility	Room 1
17:00 to 17:15	Discussion	Room 1

Wednesday 17th December 2014
09:00 to 09:45	Capital Regulation in a Macroeconomic Model with Three Layers of Default	Room 1
09:45 to 10:00	Discussion	Room 1
10:00 to 10:45	Financial intermediaries in the theory of money	Room 1
10:45 to 11:00	Discussion	Room 1
11:00 to 15:00	NATIXIS meeting (Rama Cont)	Discussion Room
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:15	Systemic Risk and Macroprudential regulation	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:00 to 14:45	Taking uncertainty seriously: simplicity versus complexity in financial regulation	Room 1
14:45 to 15:00	Discussion	Room 1
15:00 to 15:30	Afternoon Tea	No Room Required
15:30 to 17:00	Regulating the financial network: the agenda for structural reform	Room 1
19:30 to 22:00	Conference Dinner at Trinity College	No Room Required

Thursday 18th December 2014
09:00 to 09:45	Illiquidty Component of Credit Risk	Room 1
09:45 to 10:00	Discussion	Room 1
10:00 to 10:45	Information Management in Banking Crises	Room 1
10:45 to 11:00	Discussion	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:15	Static Models of Central Counterparty Risk	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:00 to 14:45	Financial Sector Health Since 2007: A Comparative Analysis of the United States, Europe and Asia	Room 1
14:45 to 15:00	Discussion	Room 1
15:00 to 15:30	Afternoon Tea	No Room Required
15:30 to 16:15	Geometry of Defaults	Room 1
16:15 to 16:30	Discussion	Room 1
16:30 to 17:15	Do U.S. Financial Regulators Listen to the Public? Testing the Regulatory Process with the RegRank algorithm	Room 1

Friday 19th December 2014
09:00 to 09:45	Networks, subnetworks and macroprudential capital requirements	Room 1
09:45 to 10:00	Discussion	Room 1
10:00 to 10:45	BSLoss– a comprehensive measure for interconnectedness	Room 1
10:45 to 11:00	Discussion	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:15	Systemic Risk Measures for Financial Networks	Room 1
12:15 to 12:30	Discussion	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required

Systemic risk: mathematical modelling and interdisciplinary approaches

Organisers

Jean-Charles Rochet Universität Zürich
Chris Rogers University of Cambridge
Fernando Vega-Redondo Bocconi University

Systemic risk: mathematical modelling and interdisciplinary approaches

Programme theme

Preprints

https://ssrn.com/abstract=2541114

Risk management for whales

Credit default swaps and systemic risk

Systemic risk and centralized clearing of OTC derivatives: a network approach

Mod-Gaussian convergence and its applications for models of statistical mechanics

The circular unitary ensemble and the Riemann zeta function: the microscopic landscape

Inhomogeneous financial networks and contagious links

The net worth trap: investment and output dynamics in the presence of financing constraints

Leverage constraints and real interest rates

The axiomatic approach to risk measures for capital determination

Valuation of claims with price impact function and liquidity costs

Capital regulation in a microeconomic model with three layers of default

To fully net or not to net: adverse effects of partial multilateral netting

Cascades in multiplex financial networks with debts of different seniority

Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banks

Workshops

Systemic Risk: models and mechanisms

Monitoring systemic risk: data, models and metrics

Controlling systemic risk: insights from mathematical modeling

Seminars

Organisers

Supported By

Systemic risk: mathematical modelling and interdisciplinary approaches

Programme theme

Preprints

https://ssrn.com/abstract=2541114

Risk management for whales

Credit default swaps and systemic risk

Systemic risk and centralized clearing of OTC derivatives: a network approach

Mod-Gaussian convergence and its applications for models of statistical mechanics

The circular unitary ensemble and the Riemann zeta function: the microscopic landscape

Inhomogeneous financial networks and contagious links

The net worth trap: investment and output dynamics in the presence of financing constraints

Leverage constraints and real interest rates

The axiomatic approach to risk measures for capital determination

Valuation of claims with price impact function and liquidity costs

Capital regulation in a microeconomic model with three layers of default

To fully net or not to net: adverse effects of partial multilateral netting

Cascades in multiplex financial networks with debts of different seniority

Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banks

Workshops

Systemic Risk: models and mechanisms

Monitoring systemic risk: data, models and metrics

Controlling systemic risk: insights from mathematical modeling

Seminars

Organisers

Supported By

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