Ecole CEA-EDF-INRIA : Systemic risk and quantitative risk management

Type: Groupe de travail modélisation stochastique et finance
Site: UPEM
Date de début: 15/10/2012 - 08:45
Date de fin: 15/10/2012 - 08:45

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) Lien: http://bit.ly/finance_inria Objectives 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. Tutorials Rama Cont, CNRS Université Paris 6 Marco Frittelli, Università degli Studi di Milano Lectures 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) Program Monday October 15 8:45 – 9:10 : Welcome ; coffee 9:15 – 10: 45 : Marco Frittelli 10:45 – 11:15 : Coffee break 11:15 – 12:45 : Nicole El Karoui Lunch 14:15 – 15:45 : Marco Frittelli 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 10:30 – 11 : Coffee break 11 – 12:30 : Hans Föllmer: Risk measures for large systems: Spatial consistency, asymptotics, and phase transitions Lunch 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 19:00 : Conference Dinner 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 Lunch 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 Mots-clés : Risk management Financial mathematics Systemic risk Risk measures