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S: Systemic Risk, Regulation and Stability 2- Dozentinnen/Dozenten
- Prof. Mishael Milakovic, Ph.D., Ilfan Oh, PhD
- Angaben
- Seminar
2 SWS
Zeit und Ort: Einzeltermin am 1.7.2015 16:00 - 21:00, F21/02.41
- Inhalt
- This two-part sequence deals with the risks that emanate from modern financial markets and their regulation. The central question is how these risks, their regulation, and the institutional framework itself can actually contribute to the creation of systemic risk, resulting in historically recurring economy-wide crises.
The second course in the sequence deals with a very recent strand of literature that approaches systemic risk from the perspective of herd behavior and the institutional or network structure of financial markets. The latter shifts the traditional focus on incentive problems for financial institutions that are too big to fail to concepts regarding network fragility when financial institutions are too interconnected to fail, and also deals with the question
how to characterize the fragility or resilience of networks from a statistical point of view. The main purpose of the course is to make students aware of the conceptual shortcomings in the definition of systemic risk that is inherent in traditional asset pricing theories,
and to introduce them to models of herd behavior and elementary notions of the structure and functioning of complex networks. Recent
institutional setups, like the European Financial Stability Facility (EFSF) or European Stability Mechanism (ESM), are discussed in light of such an approach. Lectures are in English.
- Empfohlene Literatur
- Selected readings:
(a more detailed syllabus will be distributed in class)
M.L.BECH AND E. ATALAY (2010) The topology of the federal funds market, Physica A 389:5223-5246.
G.IORI ET AL.(2008) A network analysis of the Italian overnight money market, Journal of Economic Dynamics and Control 32: 259-278.
R.M.MAY ET AL.(2008) Complex systems: Ecology for bankers, Nature 451: 893-895.
K.SORAMÄKI ET AL.(2007) The topology of interbank payment flows, Physica A 379: 317 333.
S.ALFARANO AND M.MILAKOVIC (2009) Network structure and N-dependence in agent-based herding models, Journal of Economic Dynamics and Control 33: 78-92.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 40
- Institution: Lehrstuhl für Volkswirtschaftslehre, insbes. Internationale Wirtschaft
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