jointly organize an International Conference on
New Frontiers in Systemic Risk Measures
and Extreme Risk Management
Now available:
The minutes of the conference can be found here.
Some pictures taken at the conference are here. (and you can also download the entire album of photos)

Brooklyn College, CUNY, June 4th, 2015
Traditional economic models proved inadequate in the face of the recent financial crisis, damaging the faith that both policymakers and the general public had in them. Therefore, after this financial turmoil, special attention has been paid to “macroprudential” regulation and to the necessity to identify Systemically Important Financial Institutions (SIFIs), so that systemic risk may be tracked accurately. As a consequence, several research studies have been conducted in recent years, adopting various approaches from economics, finance and financial econometrics to econophysics. This global conference, organized jointly by three universities, will be an opportunity to present the latest research in systemic risk. This year, there will be a special focus on networks, offering academics and professionals perspectives both of where we stand now, and the new research frontiers in this subject.
Robert Engle (NYU), Christian Gouriéroux (U. of Toronto), Christian Brownlees (Pompeu Fabra U.), Thomas Hurd (McMaster U.), Mila Getmansky Sherman (U. of Massachusetts, Amherst), Rama Cont (Imperial College London), Jón Daníelsson (London School of Economics), Jin-Chuan Duan (National U. of Singapore), Howard Kunreuther (Wharton School, U. of Pennsylvania), and Christophe Pérignon (HEC Paris) will give presentations on their latest research.
During the conference, Howard Kunreuther (Wharton School, U. of Pennsylvania) will present his book entitled "Insurance and Behavioral Economics: Improving Decisions in the Most Misunderstood Industry" published by Cambridge University Press (Available here).
Thomas Hurd (McMaster University) will also officially announce the imminent publication of his new book entitled "Contagion! The Spread of Systemic Risk in Financial Networks", and briefly present a summary of its contents (you can have a view of the book in progress on Thomas Hurd's website). This book will be published soon in the SpringerBriefs in Quantitative Finance series.
Serge Darolles, a Professor at the University of Paris-Dauphine and a board member of the House of Finance will be here to present this young and ambitious institution of the University of Paris-Dauphine.

June 4th, 2015
at the Brooklyn College Center in Manhattan (Right next to the Charging Bull of Wall Street),
Graduate Center for Education, 25 Broadway, NY.
Academics and professionals interested to participate are invited to register (before May 30th, 2015) here.
(or e-mail to: patricia.lenfant[ /@/ ]dauphine.fr)
You will find the program of the conference here. (Following the program you will see a short bio of the speakers and the material for their presentation)
- 9h00 - 9h30
9h30 - 9h45
9h45 - 10h30
10h30 - 11h15
11h15 - 11h30
11h30 - 12h15
12h15 - 13h00
13h00 - 13h15
13h15 - 14h15
14h15 - 14h30
14h30 - 15h00
15h00 - 15h30
15h30 - 16h00
16h00 - 16h15
16h15 - 16h45
16h45 - 17h15
17h15 - 17h45
17h45 - 18h00
- Registration
Welcome Address
Host: Karen Gould (President of Brooklyn College)
Organizers: Hervé Queneau (Brooklyn College, CUNY) and
Bertrand Maillet (U. of Paris-Dauphine)
Chair: Hervé Queneau (Brooklyn College, CUNY)- Howard Kunreuther
(Wharton School, U. of Pennsylvania)
"The Role of Insurance in Reducing Losses from Extreme Events"
(Paper) (Slides)
Christian Gouriéroux (U. of Toronto)
"Contagion and Systematic Risk: An Application to the Survival of Hedge Funds" (Paper) (Slides)
Coffee Break
Chair: Christian Gouriéroux (U. of Toronto)- Jin-Chuan Duan
(National U. of Singapore)
"Cascading Defaults and Systemic Risk of a Banking Network"
(Paper) (Slides)
Robert Engle (NYU Stern)
"The Prospects for Global Financial Stability"
(Paper) (Slides)
Lunch Address
Rémy Lambinet (GRI in Financial Services - Toronto)
Presentation of the Global Risk Institute in Financial Services (Slides)
Lunch
Serge Darolles (U. of Paris-Dauphine)
Introduction of the House of Finance (Slides)
Chair: Rémy Lambinet (GRI in Financial Services - Toronto)- Christophe Pérignon
(HEC Paris)
"Where the Risks Lie: A Survey on Systemic Risk" (Paper) (Slides)
Jón Daníelsson (London School of Economics)
"On the Nature of Financial Risk: Why Risk is so Hard to Measure and Why Risk Models Fail so Often" (Paper) (Slides)
Rama Cont (Imperial College London)
"Endogenous Risk and Price-mediated Contagion: Modeling, Monitoring and Regulation" (Slides)
Tea Break
Special 2015 Session on "Networks"
Chair: Bertrand Maillet (U. of Paris-Dauphine)- Christian Brownlees (Pompeu Fabra U.)
"Bank Credit Risk Networks: Evidence from the Eurozone"
(Paper) (Slides)
Mila Getmansky Sherman (U. of Massachusetts, Amherst)
"Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks" (Paper) (Slides)
Thomas Hurd(McMaster University)
"Contagion! The Spread of Systemic Risk in Financial Networks"
(Book in Progress) (Slides)
End of workshop address Hervé Queneau (Brooklyn College, CUNY) and
Philippe Bernard (U. of Paris-Dauphine)
-
Howard C. Kunreuther is the James G. Dinan Professor; Professor of Decision Sciences and Business and Public Policy at the Wharton School, and co-director of the Wharton Risk Management and Decision Processes Center. Professor Kunreuther has a long-standing interest in ways that society can better manage low-probability, high-consequence events related to technological and natural hazards. He is a Fellow of the American Association for the Advancement of Science, a Distinguished Fellow of the Society for Risk Analysis, and recipient of the Elizur Wright Award for the publication that makes the most significant contribution to the literature of insurance. He served on the Intergovernmental Panel on Climate Change (IPCC) as a Coordinating Lead Author for the chapter on "Integrated Risk and Uncertainty Assessment of Climate Change Response Policies" in the 2014 IPCC report and currently serves on the National Academy of Science/National Research Council’s committees on Analysis of Costs and Benefits of Reforms to the National Flood Insurance Program, and the Roundtable on Risk, Resilience, and Extreme Events. His most recent books: are At War with the Weather (with E. Michel-Kerjan, 2011), Insurance and Behavioral Economics: Improving Decisions in the Most Misunderstood Industry (with M. Pauly and S. McMorrow, 2013), and Leadership Dispatches: Chile's Extraordinary Comeback from Disaster (with M. Useem and E. Michel-Kerjan, 2015). Professor Kunreuther received the 2015 Shin Research Excellence Award from the Geneva Association and the International Insurance Society (IIS) in recognition of his outstanding work on the role of public-private partnerships in mitigating and managing risks.
Home Page;
kunreuther[ / at / ]wharton.upenn.edu
Material for the Presentation -
Christian Gouriéroux is a Professor of Economics at the University of Toronto, the Director of the Finance-Insurance Laboratory at CREST (Center for Research in Economics and Statistics) in Paris and a Researcher involved in the initiative on Systemic Risk at the French Prudential Supervisory Authority - Chair ACPR "Regulation and Systemic Risk". He holds a Ph.D. in Mathematics from the University of Rouen and has ample experience in teaching courses in Finance and Econometrics, including Credit Risk, Affine Models with Financial Applications and Factor Models. Christian has published articles in high-standard journals such as Econometrica, Journal of Econometrics, Econometric Theory, Journal of Banking and Finance, Journal of Time Series Analysis... as well as books edited by Princeton University Press, Kluwer Academic Publishers, Cambridge University Press, among others. He was a recipient of the Koopmans Prize for the project "General Approach to Serial Correlation" in 1990. He was awarded the Silver Medal of the Conseil National de Recherche Scientifique by the French Ministry of Research. In 2000, Christian received a Doctorat Honoris Causa at Mons University in Belgium. His current research interests are in financial econometrics, especially in credit risk, term structure of interest rates, longevity, hedge funds, systemic risk and regulation.
Home Page;
gouriero[ / at / ]ensae.fr
Material for the Presentation -
Jin-Chuan Duan is the Cycle and Carriage Professor of Finance in the Business School of National University of Singapore (NUS). He is also a Professor of Economics in the Department of Economics. Previously, he served as the Director of the NUS Risk Management Institute (RMI) from July 2007 to June 2014. During his 7-year tenure, RMI has emerged to become a world leader in credit research due to the "public good" Credit Research Initiative (CRI) pioneered by him in March 2009. Jin-Chuan was elected in 2008 an Academician of the Academia Sinica for his scholarly contributions, and also became a fellow of the Society for Financial Econometrics in 2013. Jin-Chuan completed his undergraduate education at the National Taiwan University, an MBA from the State University of New York at Albany and a Ph.D. in Finance from the University of Wisconsin-Madison. Jin-Chuan’s research expertise is in financial engineering and risk management, and is known for his earlier work on developing the GARCH option pricing model and more recent corporate default research in connection with the CRI. In addition to numerous scholarly publications on derivative securities and risk management, he has written a book and occasional media commentaries on current financial/economic events. Before joining NUS, Jin-Chuan held the Manulife Chair Professorship at the Rotman School of Management, University of Toronto, and also once taught at the Hong Kong University Science and Technology and McGill University.
Home Page;
bizdjc[/at/]nus.edu.sg
Material for the Presentation -
Robert Engle is the Michael Armellino Professor of finance at New York University Stern School of Business. He is a co-founding president of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. He received his Bachelor of Science from Williams College and his M.S. in Physics and Ph.D. in Economics from Cornell University. Robert is an expert in time series analysis with a long-standing interest in the analysis of financial markets. He was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He has published well over 100 academic research papers, four books and many other scholarly works. These are mostly in the broad area of time series econometrics with the most important applications to financial markets. Over the years, Robert’s authored influential papers analyzing macro economics, energy markets, urban economies and emerging markets as well as the main financial asset classes: equities, currencies, fixed income and derivatives. Two of his papers have reached milestones in citations: the paper introducing the ARCH model in 1982 and the paper coauthored with Clive Granger introducing Cointegration, in 1987.
Robert is also the Director of the Volatility Laboratory (V-Lab) at New York University Stern School of Business.
Home Page;
rengle[ / at / ]stern.nyu.edu
Material for the Presentation -
Serge Darolles Serge Darolles is a Professor of Finance at the University of Paris-Dauphine and the vice President and founder of QuantValley. He teaches Quantitative Finance and Financial Econometrics. Previously, Serge was a Research Associate at Lyxor Asset Management. He holds a Msc in mathematics of the insurance, economy and finance from the University of Paris-Dauphine, and a PhD in applied mathematics from the University of Toulouse. Serge has published in several international Journals such as Journal of Banking and Finance, Journal of Empirical Finance and Journal of Econometrics among others. More recently he wrote the article "Measuring the Liquidity Part of Volume" with Gaëlle Le Fol and Gulten Mero published in Journal of Banking and Finance. His research interests include applied mathematics, finance and asset management. He is a head of the new House of Finance founded by the University of Paris-Dauphine.
Home Page;
serge.darolles[ /at/ ]dauphine.fr
Material for the Presentation -
Christophe Pérignon is an Associate Professor in Finance at HEC Paris and the holder of the Deloitte – Société Générale Chair in Energy and Finance. He graduated in Economics and in Finance from the University of Geneva, and holds a Ph.D. in Finance from the Swiss Finance Institute. He has also been a Post-Doctoral Fellow at the University of California at Los Angeles (UCLA). His research works have been recently published in academic journals, including Journal of Financial Economics, Journal of Business, Journal of Financial, Quantitative Analysis and Review of Finance. Christophe Pérignon is also the co-founding CEO of www.RunMyCode.org, a non-for-profit scientific website that aims to make academic research easier to use and replicate. He is the winner of the 2014 Prize for the Best Young Researcher in Finance, awarded by the Institut Louis Bachelier and the Institut Europlace de finance. His current areas of research are Systemic Risk, Regulation of Financial Markets, Margin and Clearing for OTC Derivatives and the Collateral Risk of ETF. More recently he wrote the article "Implied Risk Exposure" with Sylvain Benoit and Christophe Hurlin forthcoming in Review of Finance.
Christophe is the co-holder of the Chair ACPR: "Regulation and Systemic Risk".
Home Page;
perignon[ / at / ]hec.fr
Material for the Presentation -
Jón Daníelsson is a Reader in Finance at the London School of Economics from 1997 and holds a Ph.D. in Economics from Duke University. He is also a consultant including past assignments with the IMF and the Bank of Japan. Jón has written articles and papers published in magazines, such as Financial Times and in leading academic journals, such as Journal of Econometrics, Annual Review of Economics, International Economic Review, among others. He has written several books including Financial Risk Forecasting published in Wiley-Blackwell, which is a complete introduction to practical quantitative risk management, with a focus on market risk. More recently, he wrote the book Global Financial Systems: Stability and Risk published in Pearson, which is a coherent and current analysis of the global financial system. Jón has made a number of presentations at financial institutions, public organizations in several countries, international organizations, and Universities both in Europe and the US. His media appearances include BBC radio, television news and CNN. He has also studied and commented widely on the economic meltdown in his native Iceland. His research interests cover systemic and financial risks, econometrics, economic theory and financial crisis.
He is one of the Directors of the Systemic Risk Centre based at the London School of Economics and Political Science (LSE).
Home Page;
j.danielsson[ / at / ]lse.ac.uk
Material for the Presentation -
Rama Cont is a Professor of Mathematics and Chair in Mathematical Finance at Imperial College London, Director of the CFM-Imperial Institute of Quantitative Finance and co-Director of the EPSRC Centre for Doctoral Training in Financial Analytics and Computing. He holds a Ph.D. from Paris-Sud University, a Masters degree in Theoretical Physics from the Ecole Normale Supérieure and a B.Sc. from the Ecole Polytechnique. He has participated in numerous consulting projects for financial institutions and regulators in the UK, Europe, US and Asia. He has co-authored more than 60 research publications, including the widely cited monograph Financial Modelling with Jump Processes (2003), and is the Editor-in-Chief of a major reference work, the Encyclopedia of Quantitative Finance (Wiley 2010). He served as Chair of the SIAM Activity Group on Financial Mathematics and Financial Engineering (2010-2012). Rama was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance. His research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks: discontinuities in market behavior, extreme risks, endogenous risk and systemic risk.
Home Page;
r.cont[ / at / ]imperial.ac.uk
Material for the Presentation -
Christian Brownlees is an Assistant Professor in the Department of Economics and Business at the Pompeu Fabra University. He received a B.S. in Economics and Quantitative Methods in 2003 and a Ph.D. in Statistics in 2007 from the University of Florence. Christian was a Post-Doc Research Fellow at NYU Stern until 2011. He has published articles in leading international journals such as Studies in Nonlinear Dynamics & Econometrics, Journal of Risk, Journal of Financial Econometrics, International Journal of Forecasting and Computational Statistics & Data Analysis. Together with other famous researchers such as Acharya, Engle, Farazmand and Richardson, he published the book chapter “Measuring Systemic Risk”, in Managing and Measuring Risk: Emerging Global Standards and Regulation after the Financial Crisis. His research interests are Systemic Risk, Network Analysis, Nonlinear Time Series, Forecasting, Statistical Computing, Empirical Finance and Financial High Frequency Data.
Home Page;
christian.brownlees[ / at / ]upf.edu
Material for the Presentation -
Mila Getmansky Sherman is an Associate Professor of Finance at the Isenberg School of Management at UMass Amherst. She holds a Ph.D. from the Massachusetts Institute of Technology. She has ample experience in teaching courses in finance, namely corporate finance, finance theory core, financial analysis and decisions, alternative investments and financial models. Mila has published articles in leading international journals, such as Financial Analysts Journal, Journal of Financial Economics, Quarterly Journal of Finance and Statistics and Data Analysis, and chapters in books edited by McGraw-Hill, IMF, Gifford Fong, among others. Mila is also editor for the Hedge Funds Handbook and the Oxford University Press and serves as referee in leading academic, scientific, and professional journals. Her research interests are empirical asset pricing, hedge funds, systemic risk, performance of investment trading strategies and system dynamics. In 2012 she has worked with Monica Billio, Andrew W. Lo and Loriana Pelizzon on the econometric measures of connectedness and systemic risk in the finance and insurance sectors. They found that hedge funds, banks, brokers and insurance companies have become highly interrelated over the past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships.
Home Page;
msherman[ / at / ]isenberg.umass.edu
Material for the Presentation -
Thomas R. Hurd is a Professor in Financial Mathematics at McMaster University. He holds a Ph.D. from the University of Oxford. Previously, he worked primarily in Mathematical Physics. He has ample experience in teaching courses in financial mathematics, for example Mathematics of Credit Risk and Applied Computational Finance. He also supervises PhiMAC, a group of researchers in the Mathematics Department at McMaster University. Thomas is the Principal Investigator of a major research project entitled "Financial Systemic Risk: a Network Science Approach" sponsored by the Global Risk Institute (GRI). He has published articles in leading international journals, such as Applied Mathematical Finance, Quantitative Finance, Journal of Financial Mathematics, among others. He also published the book chapter "Systemic Risk in Banking Networks without Monte Carlo Simulation" in Mathematics in Industry edited by Springer. In the past couple of years, he has given minicourses on Systemic Risk at a number of research institutions: IMPA in Rio, the 11th Winter School on Mathematical Finance in the Netherlands, and MACSI at the University of Limerick and most recently a Ph.D. level course on the subject at ETH Zurich. His main research interests are currently concentrated on the structural aspects of financial networks that most affect systemic risk.
Home Page;
hurdt[ / at / ]mcmaster.ca
Material for the Presentation
9h45-10h30 Howard Kunreuther (Wharton School, U. of Pennsylvania)
10h30-11h15 Christian Gouriéroux (U. of Toronto)
(Co-authored with Serge Darolles and Patrick Gagliardini)
This paper explores the modeling and measurement challenges of systematic risks and contagion for failure events, with an application to hedge funds’ survival. The dependence in individual liquidation risks results either from an exogenous common factor with joint effects on the survival intensities, or from contagion phenomena which make the intensities dependent on past liquidations. In order to get tractable models for estimation and prediction purposes, we perform the analysis at a semi-aggregate level and consider the liquidation counts of several management styles. We introduce a dynamic model for multivariate count data with both lagged count values (contagion) and unobserved factors (dynamic frailty) among the regressors. The assumptions ensure that the joint process of liquidation counts and common factor is affine to facilitate nonlinear prediction at any horizon and estimation by a new method of moments. Our empirical analysis shows that the common factor, the sensitivities to this factor and the contagion scheme can be interpreted in terms of liquidity risks. The factor is related nonlinearly to rollover and margin funding liquidity risks. The sensitivities to the factor are funding liquidity risk exposures, which depend on the redemption and leverage policies of fund managers. The causal scheme captures the reinforcing spiral between funding and market liquidity risks.
11h30-12h15 Jin-Chuan Duan (National U. of Singapore)
(Co-authored with Changhao Zhang)
Systemic risk of a banking system arises from cascading defaults due to interbank linkages. We propose a model which distinguishes systemic risk from its drivers – systematic and idiosyncratic risks. Systemic risk is characterised by systemic exposure and systemic fragility, corresponding to the expected losses and pervasiveness of defaults respectively (under a stress scenario). The model takes into account the banking network, asset-liability dynamics, interbank exposures and netting. Using actual data for 15 British banks, we find that systematic shocks are more likely to drive systemic risk, as opposed to banks’ idiosyncratic elements. We also demonstrate a method for ranking banks according to systemic importance.
12h15-13h00 Robert Engle (NYU Stern)
Dynamic Conditional Beta (DCB) is an approach to estimating regressions with time varying parameters. The conditional covariance matrices of the exogenous and dependent variable for each time period are used to formulate the dynamic beta. Joint estimation of the covariance matrices and other regression parameters is developed. Tests of the hypothesis that betas are constant are non-nested tests and several approaches are developed including a novel nested model. The methodology is applied to global systemic risk estimation with non-synchronous prices. New evidence on global systemic risk will be presented.
14h15-14h30 Serge Darolles (U. of Paris-Dauphine)
The House of Finance of the University of Paris-Dauphine is built on a multidisciplinary approach that brings together teaching and research. It is a uniquely collaborative ecosystem built on partnerships between business professionals with faculty and researchers. It clearly positions the University of Paris-Dauphine as a leading institution in the field. Elyès Jouini is the Director and Serge Darolles is a member of the board of the House of Finance. For more information, please contact: aida.hamdi[ /@/ ]dauphine.fr
14h30-15h00 Christophe Pérignon (HEC Paris)
(Co-authored with Sylvain Benoit, Jean-Edouard Colliard and Christophe Hurlin)
We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take stock of the achievements of this rapidly growing field, we identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory tools. The second approach uses market data to produce global measures which are not directly connected to any particular theory, but could support a more efficient regulation. Bridging this gap will require encompassing theoretical models and improved data disclosure.
15h00-15h30 Jón Daníelsson (London School of Economics)
We consider the robustness of standard risk analysis techniques, with a special emphasis on those in Basel III and focussing on the relationship between value-at-risk and expected shortfall, the small sample properties of these risk measures and the impact of using an overlapping approach to construct data for longer holding periods. We find that VaR is superior to ES practical applications that time scaling is superior to using overlapping data and that risk forecasts are extremely uncertain at very low sample sizes.
15h30-16h00 Rama Cont (Imperial College London)
(Co-authored with Eric Schaanning)
Large-scale deleveraging of assets by distressed financial institutions have been recognized as an important channel for the contagion of losses during the recent financial crisis. We propose a mathematical model for analyzing the impact of fire sales on system-wide losses in a system with multiple financial institutions subject to a macroeconomic stress scenario. Our model emphasizes the nonlinear threshold nature of deleveraging, as a result of which the volume of deleveraging is a convex function of initial asset losses. We show that the magnitude of spillover effects due to price-mediated contagion depends on "liquidity-weighted overlaps" of institutional asset holdings. A key concept which emerges from the model is the notion of indirect exposure of a financial institution to an asset class: we show that, when the impact of fire sales is taken into account, the effective exposure of an institution to an asset class may be found to be much larger than the apparent exposure as revealed by the portfolio holdings alone. We illustrate these observations on a dataset of European banks.
Finally, we show that regulatory risk weights of asset classes may be used as a macroprudential tool for a decentralized regulation of fire sales risk, by providing incentives to financial institutions to reduce their exposure to this contagion channel without revealing confidential information on institutional portfolio holdings.
16h15-16h45 Christian Brownlees (Pompeu Fabra U.)
(Co-authored with Christina Hans and Eulalia Nualart)
The credit risk of large financial institutions is highly interdependent as a result of a number of linkages between financial entities such as exposure to common asset classes and counterparty risk. In this work, we propose a novel methodology to study credit risk interconnectedness in large panels of financial institutions. Building upon the standard reduced form framework for credit risk, we introduce a model for European financial institutions in which defaults can be triggered by systematic global and country shocks as well as idiosyncratic bank specific shocks. The idiosyncratic shocks are assumed to have a sparse conditional dependence structure that we call the bank credit risk network. We then develop an estimation strategy based on Lasso regression that allows to detect and estimate network linkages from CDS data. We apply this technique to analyse the interdependence of large European financial institutions between 2006 and 2013. Results show that the credit risk network captures a substantial amount of dependence in addition to what is explained by systematic factors.
16h45-17h15 Mila Getmansky Sherman (U. of Massachusetts, Amherst)
(Co-authored with Monica Billio, Dale Gray, Andrew W. Lo, Robert C. Merton and Loriana Pelizzon)
Macrofinancial risk has become increasingly important over time as global markets have become increasingly more connected. In this paper we apply several econometric measures of connectedness based on Granger-causality networks to the changes of sovereign risk of European countries and credit risks of major European, U.S., and Japanese banks and insurers to investigate the evolution of these connections. This allows us to calculate the extent of connections between financial institutions and sovereigns and quantify the effects of risk transmission within and across countries and financial institutions. The recent global financial crisis that began in 2007 reminds us about the importance of including complex interactions, spillovers, and feedback relationships between financial institutions and sovereigns in the modeling and analysis of financial crises and sovereign risk. We examine how vulnerabilities can build up and suddenly result in a financial crisis with potentially disastrous feedback effects for sovereign debt and economic growth. Traditional macroeconomic analysis overlooks the importance of financial system risk, which makes it ill-suited to examine interconnectedness and transmission mechanisms in response to common shocks. Using contingent claims analysis (CCA) and network theory, we propose new ways to measure and analyze financial system, sovereign, and credit risks.
17h15-17h45 Thomas Hurd (McMaster University)
The book aims to provide a timely summary of a growing body of systemic risk research as well as a unified mathematical framework for the primary channels that can transmit damaging shocks through financial systems. Much of its contents are new, not having appeared previously in published journals. In the talk we will review how to study default and liquidity cascade mechanisms on random financial networks. We find that large graph analytics are available and computable when the network model has a property called "locally-treelike independence", and the cascade mechanism satisfies a "no direct feedback" condition.
Academics and professionals interested to participate are invited to register (before May 30th, 2015) here.
Due to the strict security protocole, official ID cards must be provided at the entrance of the building. As a complementary piece, Brooklyn College students are also invited to bring their official college card.
Christian Gouriéroux, University of Toronto and CREST,
christian.gourieroux[ /@/ ]ensae.fr
Bertrand Maillet,
University of Paris-Dauphine, bertrand.maillet[ /@/ ]dauphine.fr
Hervé Queneau, Brooklyn College, CUNY, hqueneau[ /@/ ]brooklyn.cuny.edu
Brooklyn College is a senior college of the City University of New York, located in Brooklyn and in Broadway Street , New York, United States. Established in 1930 by the New York City Board of Higher Education, the College had its beginnings as the Downtown Brooklyn branches of Hunter College and the City College of New York. With the merger of these branches, Brooklyn College became the first public coeducational liberal arts college in New York City. For more information, please contact Hervé Queneau at hqueneau[ /@/ ]brooklyn.cuny.edu
This conference has been prepared in the framework of the Dauphine/Brooklyn Cooperation Program.
The University of Paris-Dauphine and the Brooklyn College (City University of New York) have joined forces to implement an international third year Bachelor program for outstanding students with close links to companies. A group of 30 to 40 selected students from the University of Paris-Dauphine are doing their spring semester (January to August) of their junior year (Bachelor 3rd year) in Economics, majoring in Financial Engineering, at the Brooklyn College in New York. All the students do a 6 to 8 months internship in New York, from January to August, before coming back to the University of Paris-Dauphine for integrating their Master programs.
Here is the resume book of the students currently involved in the program: Student_Resume_Book_of_Brooklin_Dauphine_January_2015.
Please contact: Philippe Bernard, (Head of the program within the University of Paris-Dauphine) at philippe.bernard[ /@/ ]dauphine.fr and/or, Patricia Lenfant at patricia.lenfant[ /@/ ]dauphine.fr if you want to know more...
The University of Paris-Dauphine was founded in 1968 in the former NATO headquarters in Western Paris, in the XVIth arrondissement and has been specialized in the organization and decision sciences: Management, Economics, Law, Political Science, Sociology, Applied Mathematics, Management Information Systems and Languages. For more information, please contact: philippe.bernard[ /@/ ]dauphine.fr
The University of Toronto is a public research university in Toronto, Ontario, Canada. Established in 1827, the University of Toronto has one of the strongest research and teaching faculties in North America, presenting top students at all levels with an intellectual environment unmatched in depth and breadth on any other Canadian campus. For more information: www.utoronto.ca/contacts
The theme of the conference has been chosen as part of the GRI in Financial Services research project on "Systemic Risk". Please see the Systemic Risk Hub and the Global Risk Institute in Financial Services websites.
Founded by representatives from Canada’s private and public sectors, the GRI enables financial institutions, policy-makers and regulators to better manage the balance between risk and opportunity. Its mandate is the provision of applied research and education programs that build risk capacity and stimulate evidence-based debate for all those engaged in risk management in the financial services sector around the world. For more information, please go to: www.globalriskinstitute.org/
The new House of Finance of the University of Paris-Dauphine is also happy to leverage its high ambition by actively participating in this event. Please see the presentation of the House of Finance in the website of the University of Paris-Dauphine.
The House of Finance is built on a multidisciplinary approach that brings together teaching and research. It is a uniquely collaborative ecosystem built on partnerships between business professionals with faculty and researchers. It clearly positions the University of Paris-Dauphine as a leading institution in the field. Elyès Jouini is the Director and Serge Darolles is a member of the board of the House of Finance. For more information, please contact: aida.hamdi[ /@/ ]dauphine.fr
The new House of Finance of the University of Paris-Dauphine is also happy to leverage its high ambition by actively participating in this event. Please see the presentation of the House of Finance in the website of the University of Paris-Dauphine.
The House of Finance is built on a multidisciplinary approach that brings together teaching and research. It is a uniquely collaborative ecosystem built on partnerships between business professionals with faculty and researchers. It clearly positions the University of Paris-Dauphine as a leading institution in the field. Elyès Jouini is the Director and Serge Darolles is a member of the board of the House of Finance. For more information, please contact: aida.hamdi[ /@/ ]dauphine.fr
The main organizing research missions of the Chair Autorité de Contrôle Prudentiel et de Résolution (ACPR) is to facilitate the contact between academics and the ACPR and to develop an international center for reflection and proposals regarding systemic risk management. Olivier De Bandt and Christian Gouriéroux, are two of the researchers involved in the initiative on Systemic Risk at the French Prudential Supervisory Authority Chair ACPR "Regulation and Systemic Risk". For more information, please contact: bibli@acpr.banque-france.fr
The Society for Financial Econometrics (SoFiE) is a global network of academics and practitioners dedicated to sharing research and ideas in the fast-growing field of financial econometrics. It is an independent non-profit membership organization, currently housed at New York University. SoFiE is committed to promoting and expanding research and education by organizing and sponsoring conferences, programs and activities at the intersection of finance and econometrics, including links to macroeconomic fundamentals. Eric Renault is the President of The Society for Financial Econometrics. For more information, please contact: sofie@stern.nyu.edu
The goal of The Risk Banking and Finance Society is to promote the exchange of risk, bank management and finance knowledge by establishing and developing a scientific and practitioner’s community made up by people interested in the above mentioned subjects. Oliviero Roggi is the President of The Risk Banking and Finance Society. For more information, please contact: info@irmc.eu