Workshop I: Systemic Risk and Financial Networks

March 23 - 27, 2015

Schedule

All times in this Schedule are Pacific Time (PT)

Monday, March 23, 2015

Morning Session

8:00 - 8:55 Check-In/Breakfast (Hosted by IPAM)
8:55 - 9:00 Welcome and Opening Remarks
9:00 - 9:45
10:00 - 10:45
Stefan Weber (Leibniz Universität Hannover )

An Integrated Model of Systemic Risk in Financial Networks
PDF Presentation

 
11:00 - 11:30 Break
11:30 - 12:15
Edson Bastos (University of São Paulo (USP))

Systemic Risk: Beyond the Financial Sector

 
12:30 - 2:00 Lunch (on your own)

Afternoon Session

2:00 - 2:45
Hamed Amini (École Polytechnique Fédérale de Lausanne (EPFL))

Default Cascades in Inhomogeneous Financial Networks

 
3:00 - 3:45
Andreea Minca (Cornell University)

Funding liquidity risk modeling: a game theoretic approach

 
4:00 - 4:30 Break
4:30 - 5:15
5:30 - 7:00 Poster Session & Reception (Hosted by IPAM)

Tuesday, March 24, 2015

Morning Session

8:00 - 9:00 Breakfast (hosted by IPAM)
9:00 - 9:45
Marco Frittelli (Università di Milano)

A unified approach to systemic risk measures via acceptance set
PDF Presentation

 
10:00 - 10:45
Thilo Meyer-Brandis (Ludwig-Maximilians-Universität München)

Conditional systemic risk measures
PDF Presentation

11:00 - 11:30 Break
11:30 - 12:15
Alireza Tahbaz-Salehi (Columbia University)

Financial Intermediation Networks (with Marco Di Maggio)

 
12:30 - 2:00 Lunch (on your own)

Afternoon Session

2:00 - 2:45
Nina Boyarchenko (Federal Reserve Bank of New York)

Liquidity Policies and Systemic Risk

 
3:00 - 3:45
Justin Sirignano (Stanford University)

New Data-Driven Approaches to Mortgage Risk

 
4:00 - 4:30 Break
4:30 - 5:15
Andrei Kirilenko (Massachusetts Institute of Technology)

Complexity and self-organization in financial markets: evidence from trading networks

 

Wednesday, March 25, 2015

Morning Session

8:00 - 9:00 Breakfast (hosted by IPAM)
9:00 - 9:45
Damir Filipovic (École Polytechnique Fédérale de Lausanne (EPFL))

Systemic Risk with Central Counterparty Clearing
PDF Presentation

 
10:00 - 10:45
11:00 - 11:30 Break
11:30 - 12:15
Samim Ghamami (Federal Reserve Board)

Static Models of Central Counterparty Risk
PDF Presentation

 
12:30 - 2:00 Lunch (on your own)

Afternoon Session

2:00 - 2:45
3:00 - 3:45
Alexander Shkolnik (University of California, Berkeley (UC Berkeley))

Systemic Risk in the Repo Market
PDF Presentation

 
4:00 - 4:30 Break
4:30 - 5:15

Thursday, March 26, 2015

Morning Session

8:00 - 9:00 Breakfast (hosted by IPAM)
9:00 - 9:45
Ciaimac Moallemi (Columbia University)

Asset-based Contagion Models for Systemic Risk

10:00 - 10:45
Richard Bookstaber (Office of Financial Research US Treasury)

An Agent-based Model for Financial Vulnerability
PDF Presentation

 
11:00 - 11:30 Break
11:30 - 12:15
 
12:30 - 2:00 Lunch (on your own)

Afternoon Session

2:00 - 2:45
Azarakhsh Malekian (University of Toronto)

Network security and contagion

 
3:00 - 3:45
4:00 - 4:30 Break
4:30 - 5:15
Grzegorz Hałaj (European Central Bank)

Complex networks of corporate lending
PDF Presentation

 

Friday, March 27, 2015

Morning Session

8:00 - 9:00 Breakfast (hosted by IPAM)
9:00 - 9:45
Carole Bernard (Grenoble Ecole de Management)

Implied systemic risk index
PDF Presentation

 
10:00 - 10:45
Luitgard Veraart (London School of Economics and Political Science)

Systemic risk in network models with incomplete information
PDF Presentation

 
11:00 - 11:30 Break
11:30 - 12:15
Richard Sowers (University of Illinois at Urbana-Champaign)

Geometry of Defaults