Scientific

Financial Stability 1

Speaker:

Jean-Charles Rochet

Date:

Mon, Jul 21, 2014

Location:

PIMS, University of British Columbia

Conference:

The Economics and Mathematics of Systemic Risk and Financial Networks

Abstract:

The lender of last resort: An analysis of the economics and politics of banking crises, and episodes of bail-outs of
failing financial institutions.

Rochet Vives (2004) “The Lender of last Resort: was Bagehot right after all?” JEEA, 6, 1116-1147, reprinted in Rochet J.C. (2008) “Why are there so many banking crises?, Princeton University Press, chapter 2

Class:

Scientific

Subject:

Econometrics

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Contingent Capital and Financial Networks 1

Speaker:

Paul Glasserman

Date:

Mon, Jul 21, 2014

Location:

PIMS, University of British Columbia

Conference:

The Economics and Mathematics of Systemic Risk and Financial Networks

Abstract:

These lectures will cover two topics. The first is contingent capital in the form of debt that converts to equity when a bank
nears financial distress. These instruments offer a potential solution to the problem of banks that are too big to fail by
providing a credible alternative to a government bail-out. Their properties are, however, complex. I will discuss models for the analysis of contingent capital with particular emphasis on their incentive effects and the design of the conversion trigger. The second topic in these lectures is the problem of quantifying contagion and amplification in financial networks. In particular, I will focus on bounding the potential impact of network effects under the realistic condition that detailed information on the structure of the network is unavailable

Class:

Subject:

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Diffusion Models for Systemic Risk 1

Speaker:

Jean-Pierre Fouque

Date:

Mon, Jul 21, 2014

Location:

PIMS, University of British Columbia

Conference:

The Economics and Mathematics of Systemic Risk and Financial Networks

Abstract:

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will
be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via
large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the
Mean Field Game approach.

Class:

Subject: