Applied Mathematics

Risk Sharing in Over-the-Counter Markets 1

Speaker: 
Darrel Duffie
Date: 
Wed, Jul 23, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 
I will begin with an overview of the purpose and structure of OTC markets, and how they can be a source of systemic risk.
This will be followed by a brief review of search-based theories of trade and information sharing in OTC markets. Then I will turn to theories and evidence regarding the use of collateral, the role of central clearing, and failure management. The failure management topic will finish with a model of the efficient application of legal stays that could be imposed on OTC contracts at the point of bankruptcy or administrative failure resolution. These stays can yield effective payment or settlement priority to OTC contracts. Stays can be efficient, or not efficient, depending on the setting. The affected OTC contracts include derivatives, repurchase agreements, securities lending agreements, and clearing agreements. I assume a basic knowledge of game theory and of measure-theoretic probability theory, particularly counting processes with an intensity.
Class: 
Scientific
Subject: 
Mathematics
Econometrics
Applied Mathematics

Financial Stability 2

Speaker: 
Jean-Charles Rochet
Date: 
Tue, Jul 22, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 
Capital Regulation and Credit cycles: Rationale for solvency regulations: micro VS macro-prudential. Will Basel III be sufficient? Countercyclical Capital buffers
  • Admati et al.(2011) “Why bank capital is not expensive"
  • Gersbach and Rochet (2013) "Capital Regulation and Credit Fluctuations”.
Class: 
Scientific
Subject: 
Mathematics
Econometrics
Applied Mathematics

Contingent Capital and FInancial Networks 2

Speaker: 
Paul Glasserman
Date: 
Tue, Jul 22, 2014 to Wed, Jul 23, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

These lectures will cover two topics. The first is contingent capital in the form of debt that converts to equity when a bank 
nears financial distress. These instruments offer a potential solution to the problem of banks that are too big to fail by 
providing a credible alternative to a government bail-out. Their properties are, however, complex. I will discuss models for the analysis of contingent capital with particular emphasis on their incentive effects and the design of the conversion trigger. The second topic in these lectures is the problem of quantifying contagion and amplification in financial networks. In particular, I will focus on bounding the potential impact of network effects under the realistic condition that detailed information on the structure of the network is unavailable

Class: 
Scientific
Subject: 
Mathematics
Econometrics
Applied Mathematics

Diffusion Models for Systemic Risk 3

Speaker: 
Jean-Pierre Fouque
Date: 
Tue, Jul 22, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the Mean Field Game approach.

Class: 
Scientific
Subject: 
Mathematics
Econometrics
Applied Mathematics

Diffusion Models for Systemic Risk 2

Speaker: 
Jean-Pierre Fouque
Date: 
Tue, Jul 22, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the Mean Field Game approach.

Class: 
Scientific
Subject: 
Mathematics
Econometrics
Applied Mathematics

Contingent Capital and Financial Networks 1

Speaker: 
Paul Glasserman
Date: 
Mon, Jul 21, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

These lectures will cover two topics. The first is contingent capital in the form of debt that converts to equity when a bank 
nears financial distress. These instruments offer a potential solution to the problem of banks that are too big to fail by 
providing a credible alternative to a government bail-out. Their properties are, however, complex. I will discuss models for the analysis of contingent capital with particular emphasis on their incentive effects and the design of the conversion trigger. The second topic in these lectures is the problem of quantifying contagion and amplification in financial networks. In particular, I will focus on bounding the potential impact of network effects under the realistic condition that detailed information on the structure of the network is unavailable

Class: 
Scientific
Subject: 
Mathematics
Econometrics
Applied Mathematics

Diffusion Models for Systemic Risk 1

Speaker: 
Jean-Pierre Fouque
Date: 
Mon, Jul 21, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will 
be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via 
large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the 
Mean Field Game approach.

Class: 
Scientific
Subject: 
Mathematics
Econometrics
Applied Mathematics

Over the Counter Markets

Author: 
Darrell Duffie
Date: 
Thu, Jul 17, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

This lecture is part of a series on "Risk Sharing in Over-the-Counter Markets"

Notes: 
PDF icon PIMS-2014-Duffie-Lecture2.pdf
Class: 
Scientific
Subject: 
Mathematics
Econometrics
Applied Mathematics

Financial System Architecture

Author: 
Darrell Duffie
Date: 
Wed, Jul 16, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

These lecture notes are part of a series on "Risk Sharing in Over-the-Counter Markets"

Notes: 
PDF icon PIMS-2014-Duffie-Lecture1.pdf
Class: 
Scientific
Subject: 
Mathematics
Econometrics
Applied Mathematics

Oceans and Multiplicative Ergodic Theorems

Speaker: 
Anthony Quas
Date: 
Tue, Mar 25, 2014
Location: 
Calgary Place Tower (Shell)
Conference: 
Shell Lunchbox Lectures
Abstract: 

In many physical processes, one is interested in mixing and obstructions to mixing: warm air currents mixing with cold air; pollutant dispersal etc. Analogous questions arise in pure mathematics in dynamical systems and Markov chains. In this talk, I will describe the relationship between obstructions to mixing and eigenvectors of transition operators; in particular I will focus on recent work on the non-stationary case: when the Markov chain or dynamical system is non-homogeneous, or when the physical process is driven by external factors.

I will illustrate my talk with analysis of and data from ocean mixing.

Class: 
Scientific
Subject: 
Mathematics
Environmental Science
Applied Mathematics

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