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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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