SYR
18 August 2014 to 19 December 2014
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
Title | Year | Programme | |
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https://ssrn.com/abstract=2541114Authors: Rama Cont, Eric Schaanning |
2014 | SYR | 2 March 2017 |
Risk management for whalesAuthors: Lakshithe Wagalath, Rama Cont |
2014 | SYR | 2 March 2017 |
Credit default swaps and systemic riskAuthors: Rama Cont, Andrea Minca |
2014 | SYR | 21 October 2016 |
Systemic risk and centralized clearing of OTC derivatives: a network approachAuthors: S Borovkova, H Laloui El Mouttalibi |
2014 | SYR | 21 October 2016 |
Mod-Gaussian convergence and its applications for models of statistical mechanicsAuthors: P Meliot, A Nikeghbali |
2014 | SYR | 21 October 2016 |
The circular unitary ensemble and the Riemann zeta function: the microscopic landscapeAuthors: R Chhaibi, J Najnudel, A Nikeghbali |
2014 | SYR | 21 October 2016 |
Inhomogeneous financial networks and contagious linksAuthors: H Amini, Andrea Minca |
2014 | SYR | 21 October 2016 |
The net worth trap: investment and output dynamics in the presence of financing constraintsAuthors: J Isohatala, A Milne, D Robertson |
2014 | SYR | 21 October 2016 |
Leverage constraints and real interest ratesAuthors: J Isohatala, F Kusmartsev, A Milne, D Robertson |
2014 | SYR | 21 October 2016 |
The axiomatic approach to risk measures for capital determinationAuthors: H Follmer, S Weber |
2014 | SYR | 21 October 2016 |
Valuation of claims with price impact function and liquidity costsAuthors: H Ku, H Zhang |
2014 | SYR | 21 October 2016 |
Capital regulation in a microeconomic model with three layers of defaultAuthors: L Clerc, A Derviz, C Mendicino, S Moyen, K Nikolov, ET Al |
2014 | SYR | 21 October 2016 |
To fully net or not to net: adverse effects of partial multilateral nettingAuthors: H Amini, Damir Filipovic, Andrea Minca |
2014 | SYR | 21 October 2016 |
Cascades in multiplex financial networks with debts of different seniorityAuthors: CD Brummitt, T Kobayashi |
2014 | SYR | 21 October 2016 |
Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banksAuthors: A Lipton |
2014 | SYR | 21 October 2016 |
26 August 2014 to 29 August 2014
22 September 2014 to 26 September 2014
15 December 2014 to 19 December 2014
The Organisers would like to thank the following sponsors for their generous support of the event:
Friday 22nd August 2014 | |||
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09:00 to 09:45 | Room 2 | |
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09:45 to 10:00 | 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 | Room 2 | ||
11:00 to 11:30 | 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 | Room 2 |
Tuesday 26th August 2014 | |||
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08:30 to 08:50 | No Room Required | ||
08:50 to 09:00 | No Room Required | ||
09:30 to 09:45 | Room 1 | ||
10:15 to 10:30 | Room 1 | ||
10:30 to 11:00 | No Room Required | ||
11:30 to 11:45 | Room 1 | ||
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
15:00 to 15:15 | Room 1 | ||
15:15 to 15:45 |
Financial Networks, Systemic Risk and Macroprudential Policy |
Room 1 | |
15:45 to 16:00 | Room 1 | ||
16:00 to 16:15 | No Room Required | ||
16:45 to 17:00 | Room 1 | ||
17:00 to 18:00 | No Room Required |
Thursday 28th August 2014 | |||
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09:30 to 09:45 | Room 1 | ||
10:15 to 10:30 | Room 1 | ||
10:30 to 11:00 | No Room Required | ||
11:30 to 11:45 | Room 1 | ||
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
15:00 to 15:15 | Room 1 | ||
15:45 to 16:00 | Room 1 | ||
16:00 to 16:15 | No Room Required | ||
16:45 to 17:00 | Room 1 | ||
19:30 to 22:00 | No Room Required |
Friday 29th August 2014 | |||
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09:30 to 09:45 | Room 1 | ||
10:15 to 10:30 | Room 1 | ||
10:30 to 11:00 | No Room Required | ||
11:00 to 11:30 | Room 1 | ||
11:30 to 11:45 | Room 1 | ||
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
14:00 to 14:15 | Room 1 | ||
14:15 to 16:00 | Room 1 |
Wednesday 3rd September 2014 | |||
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11:00 to 12:00 |
Asset correlation and network fragility: How should we intervene? |
Room 2 |
Wednesday 10th September 2014 | |||
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11:00 to 12:00 |
Systemic risk in large claims insurance markets with bipartite graph structure |
Room 2 | |
Monday 22nd September 2014 | |||
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10:30 to 11:15 | 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 | Room 1 | |
|
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
14:45 to 15:00 | Room 1 | ||
15:00 to 15:30 | No Room Required | ||
16:15 to 16:30 | Room 1 | ||
16:30 to 17:15 |
Filling in the Blanks: Network Structure and Interbank Contagion |
Room 1 | |
17:15 to 17:30 | Room 1 | ||
17:30 to 18:30 | No Room Required |
Tuesday 23rd September 2014 | |||
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09:45 to 10:00 | Room 1 | ||
10:45 to 11:00 | Room 1 | ||
11:00 to 11:30 | No Room Required | ||
11:30 to 12:15 | Room 1 | ||
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
14:45 to 15:00 | Room 1 | ||
15:00 to 15:30 | No Room Required | ||
16:15 to 16:30 | 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 | Room 1 |
Wednesday 24th September 2014 | |||
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09:45 to 10:00 | Room 1 | ||
10:45 to 11:00 | Room 1 | ||
11:00 to 11:30 | No Room Required | ||
11:30 to 12:15 | Room 1 | ||
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
14:00 to 14:45 | Room 1 | ||
14:45 to 15:00 | Room 1 | ||
15:00 to 15:30 | 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 | Room 1 | ||
17:15 to 17:30 | 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 | |||
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09:45 to 10:00 | Room 1 | ||
10:45 to 11:00 | Room 1 | ||
11:00 to 11:30 | No Room Required | ||
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
14:45 to 15:00 | Room 1 | ||
15:00 to 15:30 | No Room Required |
Friday 26th September 2014 | |||
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09:45 to 10:00 | Room 1 | ||
10:45 to 11:00 | Room 1 | ||
11:00 to 11:30 | No Room Required | ||
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required |
Wednesday 1st October 2014 | |||
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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 | 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 | 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 | Room 1 | ||
12:30 to 13:30 | 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 | No Room Required | ||
16:00 to 16:30 | Room 1 | |
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16:30 to 17:00 | Room 1 | |
|
17:00 to 17:15 | Room 1 | ||
17:15 to 17:45 | 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 | 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 | |||
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11:00 to 12:30 | Room 2 | |
|
14:00 to 15:30 |
Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: IV |
Room 2 | |
Wednesday 12th November 2014 | |||
---|---|---|---|
14:00 to 15:00 | Room 2 |
Wednesday 19th November 2014 | |||
---|---|---|---|
11:00 to 12:00 | 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 | |
Wednesday 10th December 2014 | |||
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10:00 to 11:00 |
Financial Innovation and Backward Stochastic Difference Equations |
Room 2 | |
14:00 to 15:00 | Room 2 | |
Monday 15th December 2014 | |||
---|---|---|---|
09:00 to 09:20 | No Room Required | ||
09:20 to 09:30 | Room 1 | ||
10:15 to 10:30 | Room 1 | ||
10:30 to 11:00 | No Room Required | ||
11:00 to 11:45 | Room 1 | |
|
11:45 to 12:00 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
13:30 to 14:15 | Room 1 | |
|
14:15 to 14:30 | 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 | No Room Required | ||
15:30 to 16:00 | No Room Required | ||
16:00 to 16:45 |
Bank Networks: Contagion, Systemic Risk and Prudential Policy |
Room 1 | |
16:45 to 17:00 | Room 1 | ||
17:00 to 18:00 | 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 | Room 1 | ||
10:00 to 10:45 |
Opitmal Capital requirements over the Business and Financial Cycles |
Room 1 | |
10:45 to 11:00 | Room 1 | ||
11:00 to 11:30 | 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 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
14:00 to 15:00 | Room 1 | |
|
15:00 to 15:30 | No Room Required | ||
15:30 to 16:15 | Room 1 | |
|
16:15 to 17:00 | Room 1 | |
|
17:00 to 17:15 | 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 | Room 1 | ||
10:00 to 10:45 | Room 1 | |
|
10:45 to 11:00 | Room 1 | ||
11:00 to 15:00 | Discussion Room | ||
11:00 to 11:30 | No Room Required | ||
11:30 to 12:15 | Room 1 | |
|
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required | ||
14:00 to 14:45 |
Taking uncertainty seriously: simplicity versus complexity in financial regulation |
Room 1 | |
14:45 to 15:00 | Room 1 | ||
15:00 to 15:30 | No Room Required | ||
15:30 to 17:00 |
Regulating the financial network: the agenda for structural reform |
Room 1 | |
19:30 to 22:00 | No Room Required |
Thursday 18th December 2014 | |||
---|---|---|---|
09:00 to 09:45 | Room 1 | |
|
09:45 to 10:00 | Room 1 | ||
10:00 to 10:45 | Room 1 | ||
10:45 to 11:00 | Room 1 | ||
11:00 to 11:30 | No Room Required | ||
11:30 to 12:15 | Room 1 | |
|
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | 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 | Room 1 | ||
15:00 to 15:30 | No Room Required | ||
15:30 to 16:15 | Room 1 | |
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16:15 to 16:30 | Room 1 | ||
16:30 to 17:15 | Room 1 | |
Friday 19th December 2014 | |||
---|---|---|---|
09:00 to 09:45 |
Networks, subnetworks and macroprudential capital requirements |
Room 1 | |
09:45 to 10:00 | Room 1 | ||
10:00 to 10:45 | Room 1 | |
|
10:45 to 11:00 | Room 1 | ||
11:00 to 11:30 | No Room Required | ||
11:30 to 12:15 | Room 1 | |
|
12:15 to 12:30 | Room 1 | ||
12:30 to 13:30 | No Room Required |
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