Program and Schedule

The goal of this workshop is to bring together economists, mathematicians, statisticians, and industry experts, in order to discuss recent advances in systemic risk. The objective is to expose the audience to interesting aspects behind systemic risk, including its quantification and optimal mitigation strategies.


This workshop is sponsored by the Department of Statistics and the Program for Financial Studies at Graduate School of Business at Columbia University.


There is no registration fee but we kindly ask you to register in advance to help coordinate logistics. 
To register please follow this link: register

Schedule


Monday, May. 04 

Place:  Warren Hall 208, Columbia University.

Morning session:

10:00  -    11:00                    Jean-Pierre Fouque (University of California, Santa Barbara)

                                                "A model of liquidity risk and a new class of systemic risk measures."

11:00   -    12:00                   Iman van Lelyveld (De Nederlandsche Bank)

                                                " 'Motifs' in Financial Networks"

12:00  -     2:00                    Lunch


Afternoon session:

 2:00   -     3:00                    Tom Hurd (McMaster University)

                                                "Contagion! The Spread of Systemic Risk in Financial Networks”

 3:00   -     4:00                    Xin Guo (University of California, Berkeley)

                                                "Dynamics of order positions in a limit order book (LOB)"


Tuesday, May. 05 

Place:  Warren Hall 208, Columbia University.       

Morning session:

10:00  -    11:00                    Nina Boyarchenko (Federal Reserve Bank of New York)

                                               "The Cyclicality of Leverage and Uncertainty"

11:00   -    12:00                   Alexander Lipton (Bank of America)

                                                "Improved Monetary Circuit Theory, Interconnected Banking Networks, and Behavior of Individual Banks"

12:00  -     2:00                    Lunch


Afternoon session: Keynote Speaker

 2:00   -    3:00                    Robert Engle (New York University)

                                              "Measuring Systemic Risk with Dynamic Conditional Beta"

 3:00   -     3:15                    Closing remarks