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Prof. Dr. Stefan Weber

Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of this type of risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions. We propose a novel approach to measuring systemic risk. Key to our construction is a rigorous derivation of systemic risk measures from the structure of the underlying system and the objectives of a financial regulator. The suggested systemic risk measures express systemic risk in terms of capital endowments of the financial firms. Their definition requires two ingredients: first, a random field that assigns to the capital allocations of the entities in the system a relevant stochastic outcome. The second ingredient is an acceptability criterion, i.e. a set of random variables that identifies those outcomes that are acceptable from the point of view of a regulatory authority. Systemic risk is measured by the set of allocations of additional capital that lead to acceptable outcomes. The resulting systemic risk measures are set-valued and can be studied using methods from set-valued convex analysis. At the same time, they can easily be applied to the regulation of financial institutions in practice. We explain the conceptual framework and the definition of systemic risk measures, provide an algorithm for their computation, and illustrate their application in numerical case studies. We apply our methodology to systemic risk aggregation as described in Chen, Iyengar & Moallemi (2013) and to network models as suggested in the seminal paper of Eisenberg & Noe (2001), see also Cifuentes, Shin & Ferrucci (2005), Rogers & Veraart (2013), and Awiszus & Weber (2015). This is joint work with Zachary G. Feinstein and Birgit Rudloff.

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Dipl. Phys. Bernhard Steiert

Parameter selection for nonlinear modeling using L1 regularization

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Prof. Dr. Jörg Rahnenführer

Statistical analysis of modern sequencing data – quality control, modelling and interpretation

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Dr. Pavel Gapeev

Risk sensitive utility indifference pricing of perpetual American options under fixed transaction costs

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Prof. Steven Vanduffel

Value-at-Risk aggregation under uncertainty

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Martin Gütlein, David Vorgrimmler

Developing Prediction Models and Visualization Tools for Predictive Toxicology

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Dr. Valeria Bignozzi

How superadditive can a risk measure be?

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Dr. Werner Ehm

Geometrisch-optische Illusionen und Riemannsche Geometrie

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Johannes Textor

Causal Discovery From Bivariate Relationships

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JProf David Gross

Quantum Physics and Big Data

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Dr. Clemens Kreutz

Uncertainty analyses in the systems biology using the profile likelihood

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Prof. Micha Mandel

Cross-sectional Sampling, Bias and Dependence

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Prof. Dr. Jeannette Woerner

Zeitstetige Moving-Average Prozesse und Anwendungen auf die Strompreismodellierung

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Minisymposium

Developments in Medical Statistics 1963-2013.

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Frederik Graw

Mathematical Immunology - Using mathematical models to understand infection and immune dynamics

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Frank Riedel

Knightian Uncertainty in Economics and Finance

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Thomas Bruss

Gesellschaftsform und Überlebenswahrscheinlichkeit: Ein Verzweigungsprozessmodell.

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Carsten Dormann

Explorative Data Analysis for Prediction? Ecological Statistics between Anything Goes and the Statistical Cutting Edge

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Robert Tibshirani and Mini-Symposium

Vortrag Robert Tibshirani (USA) und Mini-Symposium

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Robert Tibshirani - The Lasso and interaction models

Vortrag Robert Tibshirani (USA) über "The Lasso and interaction models"

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