Upcoming Events

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December 3 – 5, 2019 (WIAS-ESH)
Workshop/Konferenz: Workshop on Mathematics of Deep Learning
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Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
WIAS Berlin
Tuesday, 03.12.2019, 13:30 (WIAS-406)
Seminar Materialmodellierung
Prof. Michal Pavelka, Charles University, Prague, Tschechische Republik:
Symmetric Hyperbolic Thermodynamically Compatible (SHTC) equations within GENERIC
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Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Further Informations
Seminar Materialmodellierung

Host
WIAS Berlin
Wednesday, 04.12.2019, 10:00 (WIAS-405-406)
Forschungsseminar Mathematische Statistik
Prof. Nils Bertschinger, Goethe Universität Frankfurt a. M.:
Systemic Greeks: Measuring risk in financial networks
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Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Raum: 405/406

Abstract
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing inspiration from the field of complex networks, these attempts are largely unaware of models and theories for credit risk of individual firms. Here, we note that recent network valuation models extend the seminal structural risk model of Merton (1974). Furthermore, we formally compute sensitivities to various risk factors -- commonly known as Greeks -- in a network context. In the end, we present some numerical illustrations and discuss possible implications for measuring systemic risk as well as insurance pricing.

Host
Humboldt-Universität zu Berlin
Universität Potsdam
WIAS Berlin