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DTSTART:20150619T093000Z
DTEND:20150619T110000Z
DCREATED:20150417T095932Z
UID:ATEvent-8df971b7a7d06603254b5afbd9f4a6bf
SEQUENCE:0
LAST-MODIFIED:20171030T123546Z
SUMMARY:Prof. Dr. Stefan Weber
DESCRIPTION:Systemic risk refers to the risk that the financial system
  is susceptible to failures due to the characteristics of the system i
 tself. The tremendous cost of this type of risk requires the design an
 d implementation of tools for the efficient macroprudential regulation
  of financial institutions. We propose a novel approach to measuring s
 ystemic risk.\n\nKey to our construction is a rigorous derivation of s
 ystemic risk measures from the structure of the underlying system and 
 the objectives of a financial regulator. The suggested systemic risk m
 easures express systemic risk in terms of capital endowments of the fi
 nancial firms. Their definition requires two ingredients\: first\, a r
 andom 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 identif
 ies those outcomes that are acceptable from the point of view of a reg
 ulatory 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 method
 s from set-valued convex analysis. At the same time\, they can easily 
 be applied to the regulation of financial institutions in practice.\n\
 nWe explain the conceptual framework and the definition of systemic ri
 sk measures\, provide an algorithm for their computation\, and illustr
 ate their application in numerical case studies. We apply our methodol
 ogy to systemic risk aggregation as described in Chen\, Iyengar & Moal
 lemi (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.
LOCATION:Eckerstraße 1\, room 404
PRIORITY:3
TRANSP:0
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