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SYR Seminar List

for period 18 Aug to 19 Dec

Friday 22 August
09:00-09:45 Vuillemey, G (Sciences-Po)
  Network structure and central clearing in the CDS market Sem 2
09:45-10:00 Vuillemey, G (Sciences-Po)
  Discussion Sem 2
10:00-10:45 van der Leij, M (Universiteit van Amsterdam)
  The formation of a core periphery structure in heterogeneous financial networks Sem 2
10:45-11:00 van der Leij, M (Universiteit van Amsterdam)
  Discussion Sem 2
11:30-12:15 Kluppelberg, C (Technische Universität München)
  Systemic risk through contagion in a core-periphery structured banking network Sem 2
12:15-12:30 Kluppelberg, C (Technische Universität München)
  Discussion Sem 2
Tuesday 26 August
09:00-09:30 Lehar, A (University of Calgary)
  Why are Banks Highly Interconnected? Sem 1
09:45-10:15 van der Leij, M (Universiteit van Amsterdam)
  Liquidity hoarding in the interbank market: Evidence from Mexican interbank overnight loan and repo transactions Sem 1
11:00-11:30 Halaj, G (European Central Bank)
  Emergence of the EU Corporate Lending Network Sem 1
11:45-12:15 Farmer, JD (University of Oxford)
  Dynamics of the Leverage Cycle Sem 1
14:30-15:00 Boyarchenko, N (Federal Reserve Bank of New York)
  Intermediary Leverage Cycles and Financial Stability Sem 1
15:15-15:45 Kapadia, SR (Bank of England)
  Financial Networks, Systemic Risk and Macroprudential Policy Sem 1
16:15-16:45 Carletti, E (Università Bocconi)
  Government Guarantees and Financial Stability Sem 1
Wednesday 27 August
09:00-09:30 Farboodi, M (Princeton University)
  Intermediation and Voluntary Exposure to Counterparty Risk Sem 1
09:45-10:15 Hurd, TR (McMaster University)
  Random Financial Networks and Locally Treelike Independence Sem 1
11:00-11:30 van Lelyveld, I (BIS)
  Motifs in International Banking Networks Sem 1
11:45-12:15 Battiston, S (Universität Zürich)
  Market Procyclicality and Systemic Risk Sem 1
14:30-15:00 Tahbaz-Salehi, A (Columbia University)
  Intermediation and Systemic Risk in the Repo Market Sem 1
15:30-17:00 Murphy, D; Handjinicolaou, G; McLaughlin, D; (TBC) Lipton , A (Panel Session)
  Central Clearing of OTC derivatives Sem 1
Thursday 28 August
09:00-09:30 Filipovic, D (EPFL - Ecole Polytechnique Fédérale de Lausanne)
  Systemic Risk and Central Counterparty Clearing Sem 1
09:45-10:15 Gottardi, P (European University Institute)
  Risk-Sharing and Contagion in Networks Sem 1
11:00-11:30 Eisenbach, TM (Federal Reserve Bank of New York)
  Fire-Sale Spillovers and Systemic Risk Sem 1
11:45-12:15 Chen, N (Chinese University of Hong Kong)
  Modeling Financial Systemic Risk- the Network Effect and the Market Liquidity Effect Sem 1
14:30-15:00 Gofman, M (University of Wisconsin-Madison)
  Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions Sem 1
15:15-15:45 Bookstaber, RM (Office of Financial Research at U.S. Department of Treasury)
  An Agent-Based Model for Financial Vulnerability Sem 1
16:15-16:45 Weber, S (Leibniz Universität Hannover)
  Measures of Systemic Risk Sem 1
Friday 29 August
09:00-09:30 Elliott, M (CALTECH (California Institute of Technology))
  Financial Networks and Contagion Sem 1
09:45-10:15 Amini, H (EPFL - Ecole Polytechnique Fédérale de Lausanne)
  Default Cascades in Financial Networks Sem 1
11:00-11:30 Georg, C-P (University of Cape Town)
  A Network View on Interbank Liquidity Sem 1
11:45-12:15 Minca, A (Cornell University)
  Control of interbank contagion under partial information Sem 1
13:30-14:00 Young, P (University of Oxford)
  How Likely is Contagion in Financial Networks? Sem 1
14:15-16:00 Cont, R; Glasserman, P; Vega-Redondo, F (Panel Session)
  Systemic Risk: Models and Mechanisms Sem 1
Wednesday 03 September
11:00-12:00 Kobayashi , T (Kobe University)
  Asset correlation and network fragility: How should we intervene? Sem 2
Tuesday 09 September
10:30-12:00 Duffie, D (Stanford University)
  Over the Counter Markets (1) Sem 1
14:00-15:30 Duffie, D (Stanford University)
  Over the Counter Markets (2) Sem 1
Wednesday 10 September
11:00-12:00 Kley, O (Technische Universität München)
  Systemic risk in large claims insurance markets with bipartite graph structure Sem 2
Wednesday 17 September
14:00-15:00 Dempster, M (University of Cambridge & Cambridge Systems Associates Ltd)
  The true cost of OTC derivatives Sem 2
Monday 22 September
11:30-12:15 Hartmann, P (European Central Bank)
  Systemic Risk, Macroprudential Supervision and Regulation Sem 1
14:00-14:45 Lillo, F (Scuola Normale Superiore, Pisa)
  When Micro Prudence increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification Sem 1
15:30-16:15 Brownlees, C (Universitat Pompeu Fabra)
  Bank Credit Risk Networks: Evidence from the Eurozone Crisis Sem 1
16:30-17:15 von Peter, G (Bank for International Settlements)
  Filling in the Blanks: Network Structure and Interbank Contagion Sem 1
Tuesday 23 September
09:00-09:45 Vause, N (Bank of England)
  Systemic risk in derivatives markets: a pilot study using CDS data Sem 1
10:00-10:45 Borovkova, S (Vrije Universiteit Amsterdam)
  Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach Sem 1
11:30-12:15 Moallemi, C (Columbia University)
  Margining with Multiple Central Counterparties Sem 1
14:00-14:45 Capponi, A (Columbia University)
  Market diversity under Central Clearing Sem 1
15:30-16:15 Douady, R (Labex ReFi)
  Capital Adequacy, Pro-cyclicality and Systemic Risk Sem 1
16:30-17:15 Andersen, T (Northwestern University)
  Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence Sem 1
Wednesday 24 September
09:00-09:45 Yuan, K (London School of Economics)
  Network Risk and Key Players: A Structural Analysis of Interbank Liquidity Sem 1
10:00-10:45 Mancini, L (EPFL)
  The Euro interbank repo market Sem 1
11:30-12:15 Heam, J-C (Autorité de Contrôle Prudentiel (ACPR))
  Funding liquidity from a regulatory perspective Sem 1
14:00-14:45 Roling, C (Deutsche Bundesbank)
  Liquidity spillovers in the German banking system Sem 1
15:30-16:15 Ota, T (Bank of England)
  Measuring Systemic Illiquidity and Optimal Policy Options: A Dynamic Approach Sem 1
16:30-17:15 Anand, K (Bank of Canada)
  Quantifying contagion in funding markets: An application to stress-testing Sem 1
Thursday 25 September
09:00-09:45 Landier, A (Université de Toulouse)
  Vulnerable Banks Sem 1
10:00-10:45 Cont, R (Imperial College London/CNRS)
  Fire sales, endogenous risk and price-mediated contagion Sem 1
11:30-12:15 Minca, A (Cornell University)
  Networks of Common Asset Holdings: Aggregation and Measures of Vulnerability Sem 1
14:00-14:45 Tarashev, N (Bank for International Settlements)
  System-wide risk and systemic importance: an incomplete review of metrics and data Sem 1
15:30-17:00 Clerc, L; Engle, R; Summer, M (Panel Session)
  Monitoring systemic risk: indicators and data requirements Sem 1
Friday 26 September
09:00-09:45 Cheridito, P (Princeton University)
  Measuring and allocating systemic risk Sem 1
10:00-10:45 Bernard, C (University of Waterloo)
  Conditional Quantiles and Tail Dependence Sem 1
11:30-12:15 Engle, R (New York University)
  The Prospects for Global Financial Stability Sem 1
Wednesday 01 October
10:30-12:00 Horst, U (Humboldt-Universität zu Berlin)
  On some stochastic control problems arising in models of optimal portfolio liquidation: I Sem 2
14:00-15:30 Horst, U (Humboldt-Universität zu Berlin)
  On some stochastic control problems arising in models of optimal portfolio liquidation: II Sem 2
Wednesday 08 October
09:00-10:30 Lasry, JM (Université Paris-Dauphine)
  Mean Field Games and Applications in Economics and Finance I Sem 1
11:00-11:30 Degond, P (Imperial College London)
  A kinetic theory view of mean field games and applications to economics Sem 1
11:30-11:45
  Discussion Sem 1
11:45-12:15 Cont, R (Imperial College London)
  Price dynamics in limit order markets: a multi-scale stochastic model and its hydrodynamic limit Sem 1
12:15-12:30
  Discussion Sem 1
14:00-15:30 Lasry, JM (Université Paris-Dauphine)
  Mean Field Games and Applications in Economics and Finance II Sem 1
16:00-16:30 Wolfram, M-T (Austrian Academy of Sciences)
  On a mean field model for knowledge growth Sem 1
16:30-17:00 Carrillo, J (Imperial College London)
  Optimal transport, mean field games and gradient flows Sem 1
17:00-17:15
  Discussion Sem 1
17:15-17:45 Carmona, R (Princeton University)
  The Master Equation for large population equilibria Sem 1
Wednesday 15 October
10:00-12:00 Lasry, J-M (Université Paris-Dauphine)
  Mean Field Games and Applications in Economics and Finance III Sem 1
14:00-15:00 Chong, C (Technische Universität München)
  Systemic Risk Modelling through SDEs in an Inhomogeneous Network Sem 2
15:00-16:00 Borovkova, S (Vrije Universiteit Amsterdam)
  The Role of News in Commodity and Equity Markets Sem 2
Wednesday 22 October
10:30-11:30 Rochet, J-C (Universität Zürich)
  Simple Macroeconomic Models with a Banking Sector: I Sem 1
14:00-15:00 Rochet, J-C (Universität Zürich)
  Simple Macroeconomic Models with a Banking Sector: II Sem 1
16:00-17:00 Kyle, P (University of Maryland)
  Large Bets and Stock Market Crashes Sem 1
Thursday 23 October
11:00-12:00 Rochet, J-C (Universität Zürich)
  Simple Macroeconomic Models with a Banking Sector: III Sem 2
Friday 24 October
10:00-12:00 Nikeghbali, A (Universität Zürich)
  Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables. I Sem 1
14:00-16:00 Nikeghbali, A (Universität Zürich)
  Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: II Sem 1
Wednesday 29 October
11:00-12:30 Meliot, P (Université Paris-Sud)
  Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: III Sem 2
14:00-15:30 Meliot, P (Université Paris-Sud)
  Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: IV Sem 2
Monday 03 November
10:00-11:00 Vega-Redondo, F (Bocconi University)
  Social coordination and social networks Sem 2
14:00-15:00 Goyal, S (University of Cambridge)
  Conflict in social networks Sem 2
Tuesday 04 November
14:00-15:00 Goyal, S (University of Cambridge)
  Trading in networks Sem 2
15:00-16:00 Vega-Redondo, F (Bocconi University)
  Epidemics in networks Sem 2
Wednesday 05 November
10:00-11:00 Weber, S (Leibniz Universität Hannover)
  Monetary Risk Measures - A Short Review Sem 2
14:00-15:00 Weber, S (Leibniz Universität Hannover)
  Measures of Systemic Risk Sem 2
15:00-16:00 Aymanns, C (University of Oxford)
  The dynamics of the leverage cycle Sem 2
Thursday 06 November
10:00-11:00 Weber, S (Leibniz Universität Hannover)
  An Integrated Model of Systemic Risk in Financial Networks Sem 2
Tuesday 18 November
11:00-12:00 Dybvig, PH (Washington University in St. Louis)
  Bank Runs, Deposit Insurance, and Liquidity: I Sem 2
Wednesday 19 November
11:00-12:00 Ku, H (York University (Canada))
  Option Replication and Valuation in Illiquid Markets Sem 2
14:00-15:00 Bonart, J (Imperial College London)
  Instabilities in economic network models: Is perfect rationality dynamically stable? Sem 2
Monday 24 November
16:00-17:00 May, R (University of Oxford)
  Systemic Risk in Ecological and Financial Systems: Early Warnings? Sem 1
Wednesday 26 November
11:00-12:00 McNeil, A (Heriot-Watt University)
  Scenario Sets, Risk Measures and Stress Testing Part 1: Theory Sem 2
14:00-15:00 McNeil, A (Heriot-Watt University)
  Scenario Sets, Risk Measures and Stress Testing Part 2: Implementation Sem 2
Tuesday 02 December
15:00-16:00 Foellmer, H (Humboldt-Universität zu Berlin)
  Mathematical Aspects of Local vs. Global Risk Analysis: I Sem 2
Wednesday 03 December
11:00-12:00 Foellmer, H (Humboldt-Universität zu Berlin)
  Mathematical Aspects of Local vs. Global Risk Analysis: II Sem 2
14:00-15:00 Pin, P (Università degli Studi di Siena)
  Revealing information - or not - in financial trading Sem 2
Tuesday 09 December
11:00-12:00 Dybvig, PH (Washington University in St. Louis)
  Bank Runs, Deposit Insurance, and Liquidity: II Sem 2
14:00-15:00 McNeil, A (Heriot-Watt University)
  Backtesting and Elicitability Of Risk measures Sem 1
16:00-17:00 Foellmer, H (Humboldt-Universität zu Berlin)
  Rothschild Distinguished Visiting Fellow Lecture: Admitting Uncertainty: On the Role of Probability in Finance Sem 1
Wednesday 10 December
10:00-11:00 Dempster, M (University of Cambridge)
  Financial Innovation and Backward Stochastic Difference Equations Sem 2
14:00-15:00 Pin, P (Università degli Studi di Siena)
  Endogenous network topology in the interbank lending market Sem 2
Monday 15 December
09:30-10:15 Adrian, T (Federal Reserve Bank of New York)
  Intermediary Leverage Cycles and Financial Stability Sem 1
11:00-11:45 Summer, M (Oesterreichische Nationalbank)
  Endogenous Leverage and Asset Pricing in Double Auctions Sem 1
13:30-14:15 Marsili, M (Abdus Salam International Centre for Theoretical Physics)
  A Systemic Indicator for the Size of Shadow Banking Sem 1
14:30-15:15 Klimenko, N (Universität Zürich)
  Tail Risk, Capital Requirements and the Internal Agency Problem in Banks Sem 1
16:00-16:45 Faia, E (Goethe-Universität Frankfurt)
  Bank Networks: Contagion, Systemic Risk and Prudential Policy Sem 1
Tuesday 16 December
09:00-09:45 Kashyap, A (University of Chicago)
  How does macroprudential regulation change bank credit supply? Sem 1
10:00-10:45 Malherbe, F (London Business School)
  Opitmal Capital requirements over the Business and Financial Cycles Sem 1
11:30-12:15 Schaanning, E (Imperial College London)
  Fire sales, endogenous risk and price-mediated contagion: modeling, monitoring and prudential policy Sem 1
14:00-15:00 Adrian, T; Dybvig, P; Hellwig, M; Tsomocos, D (Panel Discussion)
  Macroprudential regulation Sem 1
15:30-16:15 Iori, G (City University, London)
  Financial regulations and bank credit to the real economy Sem 1
16:15-17:00 Luck, S (Universität Bonn/Max-Planck-Institut für Gemeinschaftsgüter)
  Bank, Shadow Banking, and Fragility Sem 1
Wednesday 17 December
09:00-09:45 Clerc, L (Banque de France)
  Capital Regulation in a Macroeconomic Model with Three Layers of Default Sem 1
10:00-10:45 Sannikov, Y (Princeton University)
  Financial intermediaries in the theory of money Sem 1
11:30-12:15 Hellwig, M (Max-Planck-Institut für Gemeinschaftsgüter)
  Systemic Risk and Macroprudential regulation Sem 1
14:00-14:45 Kapadia, S (Bank of England)
  Taking uncertainty seriously: simplicity versus complexity in financial regulation Sem 1
15:30-17:00 Cont, R; Clerc, L; Vickers, J; Kapadia, S (Panel Discussion)
  Regulating the financial network: the agenda for structural reform Sem 1
Thursday 18 December
09:00-09:45 Morris, S (Princeton University)
  Illiquidty Component of Credit Risk Sem 1
10:00-10:45 Skeie, D (Texas A&M University)
  Information Management in Banking Crises Sem 1
11:30-12:15 Ghamami, S (FRB - UC Berkeley)
  Static Models of Central Counterparty Risk Sem 1
14:00-14:45 Acharya, V (New York University)
  Financial Sector Health Since 2007: A Comparative Analysis of the United States, Europe and Asia Sem 1
15:30-16:15 Sowers, R (University of Illinois at Urbana-Champaign)
  Geometry of Defaults Sem 1
16:30-17:15 Kirilenko, A (Massachusetts Institute of Technology)
  Do U.S. Financial Regulators Listen to the Public? Testing the Regulatory Process with the RegRank algorithm Sem 1
Friday 19 December
09:00-09:45 Milne, A (Loughborough University)
  Networks, subnetworks and macroprudential capital requirements Sem 1
10:00-10:45 Meller, B (Deutsche Bundesbank)
  BSLoss– a comprehensive measure for interconnectedness Sem 1
11:30-12:15 Feinstein, Z (Washington University in St. Louis)
  Systemic Risk Measures for Financial Networks Sem 1
Other Seminars
Seminars in the University
National and International Scientific Research Meetings

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