Ecole CEA EDF Inria - Systemic Risk and Quantitative Risk Management
- Date : 15/10/2012 au 17/10/2012
- Lieu : Inria Rocquencourt - Domaine de Voluceau - 78150 Rocquencourt
- Organisateurs : Benjamin Jourdain (Ecole des Ponts ParisTech) and Agnès Sulem (Inria Paris-Rocquencourt)
Since the crisis of 2008, there has been a critical reorientation of research priorities in quantitative finance with emphasis on risk.
The recent crisis, and in particular the Lehman Brothers bankruptcy and its consequences, has underlined a systemic risk due to the strong interdependencies of financial institutions. The failure of one of them can cause a cascade of failures, thus affecting the global stability of the system. Better understanding of these interlinkage phenomena becomes crucial.
The school aims at presenting the various approaches that have been developed to model this risk such as random graphs and mean field diffusion models. The tutorial and the lectures given by the academics will be complemented by a presentation of a practitioner in charge of counterparty risk.
On the other hand, the question of the quantification of the risk induced by a portfolio of financial instruments has motivated an intense research activity among practitioners and academics in the last ten years. The theory of risk measures has emerged as one of the seminal topics in quantitative finance. The second objective of the school is to give a pedagogical presentation of this theory.
- Rama Cont, CNRS Université Paris 6
- Marco Frittelli, Università degli Studi di Milano
- Michel De Lara (Ecole des Ponts ParisTech)
- Nicole El Karoui (Université Paris 6)
- Hans Föllmer (Humboldt Universität zu Berlin)
- Josselin Garnier (Université Paris 7)
- Pierre Gaye (Société Générale)
- Andreea Minca (Cornell University, USA)
- Marie-Claire Quenez (Université Paris 7)
- Luitgard Veraart (London School of Economics)
Monday October 15
8:45 – 9:10 : Welcome ; coffee
9:15 – 10: 45 : Marco Frittelli : Risk measures and performance measures (1/3)
10:45 – 11:15 : Coffee break
11:15 – 12:45 : Nicole El Karoui: Dynamic utilities and Long term decision making
14:15 – 15:45 : Marco Frittelli : Risk measures and performance measures (2/3)
15:45 – 16:15 : Coffee break
16:15 – 17:15 : Marie-Claire Quenez: Dynamic risk measures induced by BSDEs with jumps
17 :15 – 18:15 : Michel De Lara: Stochastic Viability for the Sustainable Management of Natural Resources
Tuesday October 16
9:00 – 10:30 : Marco Frittelli : Risk measures and performance measures (3/3)
10:30 – 11 : Coffee break
11 – 12:30 : Hans Föllmer: Risk measures for large systems: Spatial consistency, asymptotics, and phase transitions
14:00 – 15:30 : Rama Cont: Modeling Systemic Risk (1/3)
15:30 – 16:00 : Coffee Break
16:00 – 17:00 : Josselin Garnier: Uncertainty quantification and systemic risk
17:00 – 18:00 : Luitgard Veraart: Failure and rescue in an interbank network
Wednesday October 17
9:00 – 10:30 : Rama Cont: Modeling Systemic Risk (2/3)
10:30 – 11:00 : Coffee break
11:00 – 12:00 : Pierre Gaye: Regulatory rules evolutions and internal models implementation
13:30 – 15:00 : Rama Cont: Modeling Systemic Risk (3/3)
15:00 – 15:30 : Coffee break
15:30 – 16:30 : Andreea Minca: Controlled defaults in financial networks
The deadline for registration is October 15, 2012.
- Students rate: 100 euros
- Academy rate: 300 euros
- Industrial rate: 600 euros
Call for paper - STATISTICS AND RISK MODELING
The journal STATISTICS AND RISK MODELING will devote a Special Issue to Systemic risk
The Special Issue will appear in 2013. Papers should be submitted by december 31, 2012.