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Events

Event: IAFE /Thalesians Seminar Series
Date: Tuesday, April 23, 2013
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
Location:
NYU Kimmel Center
Room 914
60 Washington Square South
New York, NY 10012

The International Association of Financial Engineers is pleased to invite you to

IAFE /Thalesians Seminar Series:
How Likely is Contagion in Financial Networks?
A Talk by Paul Glasserman

 

ABSTRACT
Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system. We estimate the extent to which interconnections increase expected losses, under a wide range of shock distributions. An essential and novel feature of our analysis is that it assumes only minimal information about network topology. This is important because financial networks are opaque. We find that expected losses from network effects are surprisingly small without substantial heterogeneity in bank sizes and a high degree of reliance on interbank funding. They are also small unless shocks are magnified by some mechanism beyond simple spillover effects; these include bankruptcy costs, fire sales, and mark-to-market revaluations of assets. We illustrate the results with data on the European banking system. This is joint work with Peyton Young of Oxford.

BIOGRAPHY
Paul Glasserman is the Jack. R Anderson Professor of Business at Columbia Business School, where he serves as research director of the Program for Financial Studies. His research focuses on risk management, derivative securities, and portfolio selection. In 2011-2012, he was on leave from Columbia and working with the Office of Financial Research in Washington, which led to the research presented in this talk. He has previously held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York, and he worked at Bell Labs before joining Columbia in 1991. He earned an A.B. from Princeton in 1984 and Ph.D. from Harvard in 1988.

ABOUT THE SERIES
The IAFE's Thalesians Seminar Series is a joint effort on the part of the IAFE (www.iafe.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. Click here for information on the IAFE/Thalesian Seminar Series.

 


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