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Rama Cont, Imperial College London Print
Thursday, 23 January 2014, 12:15 - 13:15

Rama Cont, Imperial College London

Taming the Balck Swan: Correlation, Contagion and Endogenous Risk

Abstract: Market episodes associated with spectacular losses have been sometimes characterized as 'outliers' or 'Black Swans' and believed to be 'totally unpredictable events'. We propose a simple mathematical modeling framework which is shown to provide a  less mysterious -and quantitative- explanation for many of these episodes, in terms of market impact of institutional investors. We use these ideas to perform a forensic  analysis of two recent episodes of market turbulence: the Quant Crash of August 2007 and the Great Deleveraging of Fall 2008.

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