Applied Mathematics

Channels of Contagion in Financial Systems 2

Speaker:

Rama Cont

Date:

Thu, Jul 24, 2014

Location:

PIMS, University of British Columbia

Conference:

The Economics and Mathematics of Systemic Risk and Financial Networks

Abstract:

Understanding the mechanisms underlying systemic risk requires to change the traditional focus of risk modelling and examine the link between the structure of the financial system and its stability, with a focus on contagion mechanisms which may lead to large scale instabilities in the financial system. Some channels of contagion which have played an important role in past crises are: insolvency contagion through counterparty exposures, withdrawal of liquidity in funding channels and price-mediated contagion through fire sales of assets.

We review some recent work on the mechanisms underlying these channels of contagion, with a focus on the nature of the 'network' underlying each contagion mechanism and the implications of these results for the monitoring and regulation of systemic risk. In particular, we will attempt to illustrate the importance of the ineraction between these various channels and how this interaction may undermine regulatory efforts focussed only on a single mechanism.

Class:

Scientific

Subject:

Econometrics

Applied Mathematics

Read more about Channels of Contagion in Financial Systems 2
3707 reads

Channels of Contagion in Financial Systems

Speaker:

Rama Cont

Date:

Thu, Jul 24, 2014

Location:

PIMS, University of British Columbia

Conference:

The Economics and Mathematics of Systemic Risk and Financial Networks

Abstract:

Understanding the mechanisms underlying systemic risk requires to change the traditional focus of risk modelling and examine the link between the structure of the financial system and its stability, with a focus on contagion mechanisms which may lead to large scale instabilities in the financial system. Some channels of contagion which have played an important role in past crises are: insolvency contagion through counterparty exposures, withdrawal of liquidity in funding channels and price-mediated contagion through fire sales of assets.

We review some recent work on the mechanisms underlying these channels of contagion, with a focus on the nature of the 'network' underlying each contagion mechanism and the implications of these results for the monitoring and regulation of systemic risk. In particular, we will attempt to illustrate the importance of the ineraction between these various channels and how this interaction may undermine regulatory efforts focussed only on a single mechanism.

Class:

Subject:

Read more about Channels of Contagion in Financial Systems
4591 reads

Risk Sharing in Over the Counter Markets 2

Speaker:

Darrel Duffie

Date:

Wed, Jul 23, 2014

Location:

PIMS, University of British Columbia

Conference:

The Economics and Mathematics of Systemic Risk and Financial Networks

Abstract:

These lecture notes are part of a series on "Risk Sharing in Over-the-Counter Markets"

Class:

Subject:

Read more about Risk Sharing in Over the Counter Markets 2
3238 reads

Reconstructing carbon dioxide for the last 2000 years: a hierarchical success story

Speaker:

Doug Nychka,

Date:

Thu, Oct 16, 2014

Location:

PIMS, University of British Columbia

Conference:

SCAIM Seminar

Abstract:

Knowledge of atmospheric carbon dioxide (CO2) concentrations in the past are important to provide an understanding of how the Earth's carbon cycle varies over time. This project combines ice core CO2 concentrations, from Law Dome, Antarctica and a physically based forward model to infer CO2 concentrations on an annual basis. Here the forward model connects concentrations at given time to their depth in the ice core sample and an interesting feature of this analysis is a more complete characterization of the uncertainty in "inverting" this relationship. In particular, Monte Carlo based ensembles are particularly useful for assessing the size of the decrease in CO2 around 1600 AD. This reconstruction problem, also known as an inverse problem, is used to illustrate a general statistical approach where observational information is limited and characterizing the uncertainty in the results is important. These methods, known as Bayesian hierarchical models, have become a mainstay of data analysis for complex problems and have wide application in the geosciences. This work is in collaboration with Eugene Wahl (NOAA), David Anderson (NOAA) and Catherine Truding.

Class:

Scientific

Subject:

Mathematics

Atmospheric and Oceanic Physics: Climate Modelling

Applied Mathematics

Imaging with Waves in Complex Environments

Speaker:

Liliana Borcea

Date:

Fri, Oct 31, 2014

Location:

PIMS, University of British Columbia

Conference:

PIMS/UBC/IAM Distinguished Colloquium

Abstract:

The talk is concerned with the application of sensor array imaging in complex environments. The goal of imaging is to estimate the support of remote sources or strong reflectors using time resolved measurements of waves at a collection of sensors (the array). This is a challenging problem when the imaging environment is complex, due to numerous small scale inhomogeneities and/or rough boundaries that scatter the waves. Mathematically we model such complexity (which is necessarily uncertain in applications) using random processes, and thus study imaging in random media. I will focus attention on the application of imaging in random waveguides, which exhibits all the challenges of imaging in random media. I will present a quantitative study of cumulative scattering effects in such waveguides and then explain how we can use such a study to design high fidelity imaging methods.

Class:

Scientific

Subject:

Mathematics

Applied Mathematics

Read more about Imaging with Waves in Complex Environments
3049 reads

The Mathematics of Bats

Speaker:

Cédric Villani

Date:

Fri, Nov 14, 2014

Location:

PIMS, University of Victoria

Conference:

Hugh C. Morris Lecture

Abstract:

2010 Fields Medal recipient, Cédric Villani, Director of the Institut Henri Poincaré in Paris, France, will give a Friday evening talk entitled The Mathematics of Bats.

Class:

Scientific

Subject:

Mathematics

Environmental Science

Applied Mathematics