The Economics and Mathematics of Systemic Risk and Financial Networks
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
- Rama Cont (Imperial College, London) Channels of Contagion in Financial Systems
- Darrell Duffie (Stanford University) Risk Sharing in Over-the-Counter Markets.
- Jean-Pierre Fouque (University of California, Santa Barbara) Diffusion Models for Systemic Risk
- Paul Glasserman (Columbia University) Contingent Capital and Financial Networks
- Jean Charles Rochet (Swiss Finance Institution) Financial Stability
- Yuliy Sannikov (Princeton University) Economies with Financial Frictions: A Continuous Time Approach
