Systemic Risk in Derivatives Markets: The Fourth Annual Conference on Systemic Risk Modelling

Event

Summary
Date: 
October 14th 2016

Time: 8:45am - 6:15pm  Venue: Conference Suite, 9th floor, Tower 2, LSE

Organisers: Alper Odabasioglu (Systemic Risk Centre, LSE) and Christoph Aymanns (Systemic Risk Centre, LSE).

Speakers: Eric Schaanning (Imperial College), Tarik Roukny (University of Brussels), Or Shachar (NY Fed), Filip Zikes (Federal Reserve Board), Aaditya M. Iyer (NYU), Andreea Minca (Cornell University), Michalis Vasios (Bank of England), Christoph Aymanns (LSE), Alper Odabasioglu (LSE)

This year’s conference focused on systemic risks emanating from derivatives markets.

Topics included:
• Empirical evidence on derivatives risk exposure and risk taking behaviour in derivatives markets
• Measures of systemic risk in derivatives markets
• Counterparty risk, collateral management, central clearing and contagion in derivatives markets
• Market microstructure of derivatives markets (including network aspects of OTC derivatives)
• Model risk in derivatives markets
• Information aggregation and herding in derivatives markets

The suggested hashtag for this event for Twitter users was: #LSERiskModelling


Materials available for download:

Programme

Photo gallery

Rama Cont (Imperial College), Artashes Karapetyan (BI Business School), Eric Schaanning (Imperial College and Norges Bank): Fire sales, price-mediated contagion and systemic risk. - presentation and paper.

Viral V. Acharya (NYU Stern & NBER), Aaditya M. Iyer (NYU Stern), Rangarajan K. Sundaram (NYU Stern): Risk Sharing and the Creation of Systemic Risk - presentation and paper.

Hamed Amini, Damir Filipovic, Andreea Minca (Cornell University): Systemic Risk and Central Clearing Counterparty Design - slides.

Evangelos Benos (Bank of England), Michalis Vasios (Bank of England), Richard Payne (Cass Business School): Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act - slides.