Workshop I: Systemic Risk and Financial Networks - IPAM

Workshop I: Systemic Risk and Financial Networks

Part of the Long Program Broad Perspectives and New Directions in Financial Mathematics
March 23 - 27, 2015

Schedule

All times in this Schedule are Pacific Time (PT)

Monday, March 23, 2015

Morning Session

08:00-08:55
Check-In/Light Breakfast (Hosted by IPAM)
08:55-09:00
Welcome and Opening Remarks
09:00-09:45
Tom Hurd (McMaster University)
Contagion! The Spread of Systemic Risk in Financial Networks
10:00-10:45
Stefan Weber (Leibniz Universität Hannover )
An Integrated Model of Systemic Risk in Financial Networks
11:00-11:30
Break
11:30-12:15
Edson Bastos (University of São Paulo (USP))
Systemic Risk: Beyond the Financial Sector

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Hamed Amini (École Polytechnique Fédérale de Lausanne (EPFL))
Default Cascades in Inhomogeneous Financial Networks
15:00-15:45
Andreea Minca (Cornell University)
Funding liquidity risk modeling: a game theoretic approach
16:00-16:30
Break
16:30-17:15
Christian Gourieroux (University of Toronto)
Contagion and Systematic Risk: an Application to the Survival of Hedge Funds
17:30-19:00
Poster Session & Reception (Hosted by IPAM)

Tuesday, March 24, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:45
Marco Frittelli (Università di Milano)
A unified approach to systemic risk measures via acceptance set
10:00-10:45
Thilo Meyer-Brandis (Ludwig-Maximilians-Universität München)
Conditional systemic risk measures
11:00-11:30
Break
11:30-12:15
Alireza Tahbaz-Salehi (Columbia University)
Financial Intermediation Networks (with Marco Di Maggio)

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Nina Boyarchenko (Federal Reserve Bank of New York)
Liquidity Policies and Systemic Risk
15:00-15:45
Justin Sirignano (Stanford University)
New Data-Driven Approaches to Mortgage Risk
16:00-16:30
Break
16:30-17:15
Andrei Kirilenko (Massachusetts Institute of Technology)
Complexity and self-organization in financial markets: evidence from trading networks

Wednesday, March 25, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:45
Damir Filipovic (École Polytechnique Fédérale de Lausanne (EPFL))
Systemic Risk with Central Counterparty Clearing
10:00-10:45
Paul Glasserman (Columbia University)
Hidden Illiquidity with Multiple Central Counterparties
11:00-11:30
Break
11:30-12:15
Samim Ghamami (Federal Reserve Board)
Static Models of Central Counterparty Risk

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Agostino Capponi (Columbia University)
Liability Concentration and Systemic Losses in Financial Networks: Comparisons via Majorization
15:00-15:45
Alexander Shkolnik (University of California, Berkeley (UC Berkeley))
Systemic Risk in the Repo Market
16:00-16:30
Break
16:30-17:15
Michael Gordy (Federal Reserve Board)
Multi-name default intensity models under stochastic time-change

Thursday, March 26, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:45
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
11:00-11:30
Break
11:30-12:15
Maryam Farboodi (Princeton University)
Strategic Opaqueness: A Cautionary Take on Securitization

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Azarakhsh Malekian (University of Toronto)
Network security and contagion
15:00-15:45
Stefano Battiston (University of Zurich)
Leverage the network: a stress test framework based on DebtRank
16:00-16:30
Break
16:30-17:15
Grzegorz Hałaj (European Central Bank)
Complex networks of corporate lending
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