Systemic Risk in Over-The-Counter Markets: The Third Annual Conference on Systemic Risk

Event

Summary
Date: 
November 19th 2015

Time: 9:10am - 6:20pm Venue: LSE
Speakers: Francesco Palazzo (Bank of Italy), Pedro Gurrola-Perez (Bank of England), Christoph Aymanns (SRC, LSE), Frank Page (Indiana University), Anton Tsoy (EIEF), Shengxing Zhang (LSE) and Andreas Uthemann  (SRC, LSE).
Organisers: Andreas Uthemann (SRC, LSE) and Lerby Ergun (SRC, LSE)

The Third Annual Conference on Systemic Risk will focus on systemic risks emanating from over-the-counter markets.

The topics that will be discussed are:

  • Model risk in derivatives markets
  • Counterparty credit risk, collateral management, and central clearing
  • Information aggregation in opaque markets
  • Market and security design.

The final programme and presentation slides can be found in “Full Report"

Photographs from the event are available to view.

For additional information please contact Lerby Ergun at: m.l.ergun@lse.ac.uk.

Full Report

Programme

Peer Monitoring via Loss Mutualization
Francesco Palazzo (Bank of Italy)

Calibrating A New Generation of Initial Margin Models under the New Regulatory Framework
Pedro Gurrola-Perez (Bank of England)

“Trading in Coupled Financial Networks”
Christoph Aymanns (SRC, LSE)

“Equilibrium Network Dynamics and Endogenous Systemic Risk”
Frank Page (Indiana University)

Liquidity and Prices in Over-the-Counter Markets with Almost Public Information
Anton Tsoy (EIEF)

Endogenous Market Making and Network Formation
Shengxing Zhang (LSE)

Valuation Uncertainty and Disagreement in OTC Derivatives Markets:  Evidence from Markit's TOTEM Service
Andreas Uthemann  (SRC, LSE)