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

 

 

Title Speaker Datesort descending
Financial System Architecture Darrell Duffie July 16, 2014 - 12:00am
Over the Counter Markets Darrell Duffie July 17, 2014 - 12:00am
PIMS Summer School on The Economics and Mathematics of Systemic Risk and the Financial Networks July 20, 2014 - 10:00am
Diffusion Models for Systemic Risk 1 Jean-Pierre Fouque July 21, 2014 - 12:00am
Financial Stability 1 Jean-Charles Rochet July 21, 2014 - 12:00am
Contingent Capital and Financial Networks 1 Paul Glasserman July 21, 2014 - 12:00am
Diffusion Models for Systemic Risk 2 Jean-Pierre Fouque July 22, 2014 - 12:00am
Contingent Capital and FInancial Networks 2 Paul Glasserman July 22, 2014 - 12:00am
Diffusion Models for Systemic Risk 3 Jean-Pierre Fouque July 22, 2014 - 12:00am
Financial Stability 2 Jean-Charles Rochet July 22, 2014 - 12:00am
Contingent Capital and FInancial Networks 2 Paul Glasserman July 23, 2014 - 12:00am
Risk Sharing in Over-the-Counter Markets 1 Darrel Duffie July 23, 2014 - 12:00am
Financial Stability 3 Jean-Charles Rochet July 23, 2014 - 12:00am
Economies with Financial Frictions: A Continuous Time Approach Yuliy Sannikov July 23, 2014 - 12:00am
Risk Sharing in Over the Counter Markets 2 Darrel Duffie July 23, 2014 - 12:00am
Channels of Contagion in Financial Systems 2 Rama Cont July 24, 2014 - 12:00am
Economies with Financial Frictions: A Continuous Time Approach 2 Yuliy Sannikov July 24, 2014 - 12:00am
Channels of Contagion in Financial Systems Rama Cont July 24, 2014 - 12:00am
Risk Sharing in Over the Counter Markets 3 Darrel Duffie July 25, 2014 - 12:00am
Channels of Contagion in Financial Systems 3 Rama Cont July 25, 2014 - 12:00am
Economies with Financial Frictions: A Continuous Time Approach 3 Yuliy Sannikov July 25, 2014 - 12:00am