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Events
Financial Risks

MPI für Mathematik in den Naturwissenschaften Leipzig

E1 05 (Leibniz-Saal)

conference

02.05.19

Financial Risks

This is a small workshop where we want to compare and constructively discuss three very different approaches to the analysis and the identification of risks in financial markets.

These approaches use network analysis, stochastic differential equations and information theory.

Speakers

Nils Bertschinger

Frankfurt Institute for Advanced Studies - FIAS, Germany

Jürgen Jost

Max Planck Institute for Mathematics in the Sciences, Germany

Frank Heinrich Riedel

Universität Bielefeld, Germany

Stefan Thurner

Universität Wien, Austria

Program

09:00 - 09:15	Welcome coffee
09:15 - 09:30	Jürgen Jost (Max Planck Institute for Mathematics in the Sciences, Germany) Welcome and introduction
09:30 - 10:30	Stefan Thurner (Universität Wien, Austria) Elimination of systemiuc risk in financial markets
10:30 - 11:00	Discussion and break
11:00 - 12:00	Frank Heinrich Riedel (Universität Bielefeld, Germany) Knightian Uncertainty and Regulation in Financial Markets Regulating financial markets is both an essential as well as quite subtle issue for modern societies. We review Value at Risk and how it contributed to the crisis of 2008. The question how to regulate markets is closely related to the issue of Knightian uncertainty. The distinction of „uncertainty" from „risk“ is about to change the way economists think about financial markets and markets under time and uncertainty. We thus reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. We discuss „better“ risk measures than Value at Risk, but also point to some issues that regulation with these risk measures might face.
14:00 - 15:00	Nils Bertschinger (Frankfurt Institute for Advanced Studies - FIAS, Germany) Systemic Greeks: Measuring risk in financial networks Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing inspiration from the field of complex networks, these attempts are largely unaware of models and theories for credit risk of individual firms. Here, we note that recent network valuation models extend the seminal structural risk model of Merton (1974). Furthermore, we formally compute sensitivities to various risk factors – commonly known as Greeks – in a network context. In particular, we propose the network ∆ as a quantitative measure of contagion and illustrate our findings on some numerical examples. Finally, we show how insurance against systemic risk could be priced within our framework.
15:00 - 15:30	Discussion and break
15:30 - 16:30	Concluding discussion

Financial Risks

Speakers

Nils Bertschinger

Jürgen Jost

Frank Heinrich Riedel

Stefan Thurner

Program

Scientific Organizers

Jürgen Jost

Administrative Contact

Antje Vandenberg