The Economics and Mathematics of Systemic Risk and Financial Networks

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Financial markets are not physical systems. The rules they operate are determined by regulation, and the operators try their best to influence and circumvent these regulations insofar as they thwart their own ends. Asset prices are modelled by stochastic processes, as if the randomness came from an outside source, but the markets themselves generate much of the noise. Risk is the downside of randomness. The program will focus on the way the markets generate and propagate risk, and what kind of regulation can mitigate it.

 

The summer school will comprise six courses of 3 lectures each. The school is targeted for graduate students and young researchers interested in the theme of the program, and who have some background in probability, stochastic calculus and applied mathematics. 

The six courses will be given by

 

 

Speaker Title Type
Darrell Duffie Financial System Architecture Wed, Jul 16, 2014 Lecture Notes
Darrell Duffie Over the Counter Markets Thu, Jul 17, 2014 Lecture Notes
Jean-Pierre Fouque Diffusion Models for Systemic Risk 1 Mon, Jul 21, 2014 Lecture Video
Paul Glasserman Contingent Capital and Financial Networks 1 Mon, Jul 21, 2014 Lecture Video
Jean-Charles Rochet Financial Stability 1 Mon, Jul 21, 2014 Lecture Video
Jean-Pierre Fouque Diffusion Models for Systemic Risk 2 Tue, Jul 22, 2014 Lecture Video
Jean-Pierre Fouque Diffusion Models for Systemic Risk 3 Tue, Jul 22, 2014 Lecture Video
Paul Glasserman Contingent Capital and FInancial Networks 2 Tue, Jul 22, 2014 Lecture Video
Jean-Charles Rochet Financial Stability 2 Tue, Jul 22, 2014 Lecture Video
Darrel Duffie Risk Sharing in Over-the-Counter Markets 1 Wed, Jul 23, 2014 Lecture Video
Darrel Duffie Risk Sharing in Over the Counter Markets 2 Wed, Jul 23, 2014 Lecture Video
Jean-Charles Rochet Financial Stability 3 Wed, Jul 23, 2014 Lecture Video
Paul Glasserman Contingent Capital and FInancial Networks 2 Wed, Jul 23, 2014 Lecture Video
Yuliy Sannikov Economies with Financial Frictions: A... Wed, Jul 23, 2014 Lecture Video
Rama Cont Channels of Contagion in Financial Systems Thu, Jul 24, 2014 Lecture Video
Rama Cont Channels of Contagion in Financial Systems 2 Thu, Jul 24, 2014 Lecture Video
Yuliy Sannikov Economies with Financial Frictions: A... Thu, Jul 24, 2014 Lecture Video
Rama Cont Channels of Contagion in Financial Systems 3 Fri, Jul 25, 2014 Lecture Video
Darrel Duffie Risk Sharing in Over the Counter Markets 3 Fri, Jul 25, 2014 Lecture Video
Yuliy Sannikov Economies with Financial Frictions: A... Fri, Jul 25, 2014 Lecture Video
PIMS Summer School on The Economics and... Sun, Jul 20, 2014 Photo Gallery