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Stefano Battiston, ETH Zurich Print
Thursday, 09 February 2012, 12:15 - 13:15

Stefano Battiston, ETH Zurich

Emergence of Systemic Risk in Financial Networks

Abstract: The talk will cover recent and related works carried out in our group on the emergence of systemic risk in financial networks. Our recent empirical work have investigated for the first time the structure and the concentration of global financial networks (4). Motivated by these results, I introduce a simplified continuous-time dynamics of financial robustness of banks in a network of obligations. Thisincorporates the interdependence among banks and the trend-reinforcement, i.e., the tendency of negative shocks to robustness to generate persistent adverse effect in time (1). I then introduce a non-linear dynamics of financial fragility, which is derived from a balance-sheet approach (2-3). For both frameworks I discuss the results concerning the impact of the topology of the network on systemic risk.

Location: R42.2.113
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it