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LTI@Unito/CCA webinar in Quantitative Finance: “Self Inflicted Debt Crises”, Theo Dimpoulos (HEC Lausanne) | May 12, 2021 @12:00
by Luca Regis 07 May '21

07 May '21

Dear Colleagues, I am happy to share with you the following invitation to the Quantative Finance webinar organized by LTI@UniTO and Collegio Carlo Alberto, “Self Inflicted Debt Crises” by Theo Dimopoulos (HEC Lausanne), which will take place on Zoom on May 12, at 12.00. Below you find the Zoom link and an abstract of the presentation. Best regards, Luca Regis <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/4a6SaiafujNub6pHriwakj0wncDAbmtUwm…> <#> LTI@Unito and Fondazione Collegio Carlo Alberto are pleased to invite you to the next webinar <#> *May 12, 2021 | 12:00-13:15* *“Self Inflicted Debt Crises”* *Theo Dimopoulos (HEC Lausanne)* <#> *Abstract*: The restrictions on economic activity in the Covid-19 pandemic have led to a looming debt crisis. In a dynamic model of strategic default and debt renegotiation, we show how to resolve debt crises depending on borrowers’ time-inconsistent preferences. Myopic borrowers misprice their option to default by a U-shaped negative pricing error, which causes imperfect consumption smoothing, underinvestment in normal times, and risk shifting in crisis times. The model shows that bailouts need to be tailored to borrowers’ myopia, that lenders and borrowers ultimately self-inflict debt crises through their strategic interaction, that myopic distress can be cheaper to resolve than rational distress, and that myopia can be beneficial for rational agents. Optimal bailouts either punish or reward myopia through smaller or larger transfers, leading to procrastinated default and protracted crises or the reverse, depending on whether transfers exacerbate or alleviate the borrowers’ misperception of default risk. *Zoom Link*: https://us02web.zoom.us/j/86981911369?pwd=enM0c0lRM1BqOUhiNXJ1b1hoRUFkZz09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/hbrUdAY_KcHiYFp-zoUEFWWBp9T0Kg0cUl…> Meeting ID: 869 8191 1369 Passcode: 166986 <#> <#> <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/Kc1f2ufQnOOWcPREh0lKmL7Q4fzC6kZTEu…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/b-edRrCQzu0enNR_azA3LGWp3pL_izmv84…> <#> FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +390116705000 segreteria(a)carloalberto.org - www.carloalberto.org Facebook <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/Gt2401hi4FK-WGDLZAuu96sNqvjzd4A07j…> Twitter <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/dMAP2G9V5OGEVQgiZTVGvRpJC3GmNfL6Kc…> LinkedIn <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/ZfldktwuWczKYK5tZjUQN--QuFGPkzyS3J…> Instagram <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/lxHhxw7_pN8bfa4lRN1Ro0KNXDKFYNSqGI…> Youtube <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/toZ5omiJqAM-e_mmWMFepsHZKCAJ2-Skq2…> <#> *INFORMATION UNDER THE NEW GENERAL DATA PROTECTION REGULATION (GDPR)* Your personal information has been gathered for the exclusive purpose of informing you about the Collegio's initiatives, considering our and your legitimate interest or your consent. If you wish to have your personal data modified please contact Fondazione Collegio Carlo Alberto, piazza Arbarello 8, 1022 Torino, Italy - phone: +390116705000 - privacy(a)carloalberto.org *Unsubscribe* <https://4z5y5.r.a.d.sendibm1.com/mk/un/VBSMfA5QdgOL83sSDLP1ssvlYSrtMdGDR3mB…> <#> © 2021 Fondazione Collegio Carlo Alberto

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Phd Position at the Turin and Pau Universities
by Bruno Toaldo 07 May '21

07 May '21

The PhD School of the University of Turin, in the context of the PhD course in "Modeling and Data Science", offers: 1 PhD position on the project "Numerical approximations of non-local parabolic equations based on stochastic and finite elements methods and applications", starting on Nov 1, 2021. The project is a joint research initiative of the Stochastic group in the Dept. of Mathematics at the University of Turin (Italy) and the Numerical Analysis group in the "Laboratoire de Mathématique et de leurs applications" at the University of Pau (France). The advertised position will be based in both universities and will offer ample freedom to suitably organize the stay in the two cities. The possibility of double PhD Degree could be considered. The gross salary is 1458/month during the stay in Turin and could be increased of about 50% during the period in Pau. Embedded in a truly international environment, the student will get excellent research training in a structured programme focussing on challenges at the mathematical foundations of the stochastic and numerical approach to PDEs as well as on challenges arising from its various applications, e.g., in physics, biology, finance or data science. The combined expertise from the Turin and Pau groups will provide a significant breadth in depth and fertile ground for our student's ambitious research ideas. Successful candidates will have an MSc degree (or equivalent) in Mathematics (or a closely related field such as Applied Mathematics, Computational Science, Physics or Statistics), strong knowledge on stochastic processes or numerical methods, and feel eager to engage in the exchange of ideas with the teams in both Turin and Pau. For further information, please contact Bruno Toaldo: bruno.toaldo(a)unito.it -- Prima di stampare, pensa all'ambiente ** Think about the environment before printing Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.en.html <http://www.gnu.org/philosophy/no-word-attachments.html>

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Seminar announcement
by Marco Scarsini 07 May '21

07 May '21

Thursday, 13 May, 17:00 CEST *Yiling Chen,* Harvard University Forecast Aggregation via Peer Prediction <http://mailsender.luiss.it/lists/lt.php?id=cRpQBAIDSAULBwNOVgFdBQs> Discussants: Ville Satopää and Aris Filos-Ratsikas The paper can be found here <https://arxiv.org/abs/1910.03779>. This is the link to the Virtual Room <http://mailsender.luiss.it/lists/lt.php?id=cRpQAAYBSAULBwNOVgFdBQs>. If you want to receive the password to access the virtual room, please fill out this form <https://docs.google.com/forms/d/e/1FAIpQLSeDxM-M5ogG43elgjC-lNCp0BDhISiZHG0…> (If you filled it out in the past, this is not necessary). The schedule of the upcoming seminars can be found here <https://economiaefinanza.luiss.it/en/seminars/2020-2021-seminars>. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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BAYSM 2021: extended deadline for registration & abstract submission
by Federico Camerlenghi 07 May '21

07 May '21

Dear all, This is a friendly reminder that the Bayesian Young Statisticians Meeting (BAYSM2021) will take place online on September 1-3, 2021. We are also happy to announce that the registration deadline has been extended to the end of May. The registration link is https://events.stat.uconn.edu/BAYSM2021/ . Although the conference will be free, registration is mandatory. Young researchers interested in giving a talk or presenting a poster are invited to *submit an extended abstract by May 31, 2021* during the registration process. Our decisions will be emailed by the end of June. *The extended abstract should be written according to the template and instructions provided on the registration page.* The template is downloadable from the "Resources" section on the website. For organizational reasons, we kindly ask all the interested researchers to register even if they just want to attend the meeting. The deadline for registration is again May 31, 2021. While the meeting is organized for and by junior Bayesians, attendance is open to anyone who may be interested. For more information, please visit the conference website: https://events.stat.uconn.edu/BAYSM2021/ Or write an email to baysm.isba(a)gmail.com On behalf of the BAYSM2021 organizing committee. -- Federico Camerlenghi Assistant Professor RTDb Department of Economics, Management and Statistics University of Milano Bicocca, Milano, Italy. web-page: https://www.unimib.it/federico-camerlenghi

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Pisa Online Seminars - Michael Högele and Alessandra Caraceni (Tuesday, May 11 at 16:00 and 17:00)
by Giacomo Filippo Di Gesu 06 May '21

06 May '21

Dear colleagues, I would like to invite you to the following online seminar organized by the Probability group of the University of Pisa. The two talks will be accessible under the link Click here to join<https://teams.microsoft.com/l/meetup-join/19:af3d635091e049579e555a84219ab3…"Tid":"c7456b31-a220-47f5-be52-473828670aa1","Oid":"dfd1e5f6-331d-43e0-a180-4bb6ce727fb7"}> Best regards, Giacomo Tuesday, May 11, 16:00 Speaker: Michael Högele (Universidad de los Andes) Title: Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance Abstract: This talk presents recent results on cutoff thermalization (also known as the cutoff phenomenon) for a general class of asymptotically exponentially stable Ornstein-Uhlenbeck systems under ε-small additive Lévy noise. The driving noise processes include Brownian motion, α-stable Lévy flights, finite intensity compound Poisson processes and red noises and may be highly degenerate. Window cutoff thermalization is shown under generic mild assumptions, that is, we see an asymptotically sharp ∞/0-collapse of the renormalized Wasserstein distance from the current state to the equilibrium measure μ^ε along a time window centered in a precise ε-dependent time scale t_ε . In many interesting situations such as reversible (Lévy) diffusions it is possible to prove the existence of an explicit, universal, deterministic cutoff thermalization profile. The existence of this limit is characterized by the absence of non-normal growth patterns in terms of an orthogonality condition on a computable family of generalized eigenvectors of the matrix Q. With this piece of theory at hand this article provides a complete discussion of the cutoff phenomenon for the classical linear oscillator with friction subject to ε-small Brownian motion or α-stable Lévy flights. Furthermore, we cover the highly degenerate case of a linear chain of oscillators in a generalized heat bath at low temperature. Tuesday, May 11, 17:00 Speaker: Alessandra Caraceni (University of Oxford) Title: Polynomial mixing time for edge flips on planar maps Abstract: A long-standing problem proposed by David Aldous consists in giving a sharp upper bound for the mixing time of the so-called “triangulation walk”, a Markov chain defined on the set of all possible triangulations of the regular n-gon. A single step of the chain consists in performing a random edge flip, i.e. in choosing an (internal) edge of the triangulation uniformly at random and, with probability 1/2, replacing it with the other diagonal of the quadrilateral formed by the two triangles adjacent to the edge in question (with probability 1/2, the triangulation is left unchanged). While it has been shown that the relaxation time for the triangulation walk is polynomial in n and bounded below by a multiple of n^{3/2}, the conjectured sharpness of the lower bound remains firmly out of reach in spite of the apparent simplicity of the chain. For edge flip chains on different models – such as planar maps, quadrangulations of the sphere, lattice triangulations and other geometric graphs – even less is known. We shall discuss results concerning the mixing time of random edge flips on rooted quadrangulations of the sphere obtained in joint work with Alexandre Stauffer. A “growth scheme” for quadrangulations, which generates a uniform quadrangulation of the sphere by adding faces one at a time at appropriate random locations, can be combined with careful combinatorial constructions to build probabilistic canonical paths in a relatively novel way. This method has implications for a range of interesting edge-manipulating Markov chains on so-called Catalan structures, from “leaf translations” on plane trees to “edge rotations” on general planar maps. ************************ Giacomo Di Gesù Dipartimento di Matematica Università di Pisa Largo Bruno Pontecorvo 5 56127 - Pisa, Italy giacomo.digesu(a)unipi.it<mailto:giacomo.digesu@unipi.it> https://sites.google.com/site/giacomodigesu/

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bando per RTDB in SECS-S/06 a Pavia
by benedetta.ferrario 05 May '21

05 May '21

Presso il Dipartimento di Scienze Economiche e Aziendali dell'Università di Pavia è stato bandito un posto RTD-B nel settore SECS-S/06, consultabile al link http://wcm-3.unipv.it/site/home/ateneo/bandi-e-concorsi/concorsi-per-person… Scadenza presentazione domande: 3 giugno 2021 ore 12.00. Si prega di dare la massima diffusione presso tutti gli interessati.

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Seminar Aernout van Enter
by Massimo Campanino 05 May '21

05 May '21

Aernout van Enter ONE-SIDED VERSUS TWO-SIDED STOCHASTIC PROCESSES Thursday the 6th of May 3 pm (Italian time) Stochastic processes can be parametrised by time (such as occurs in Markov chains), in which case conditioning is one-sided (on the past) or by one-dimensional space (which is the case, for example, for one-dimensional Markov fields), where conditioning is two-sided (on the right and on the left). I will discuss some examples, in particular generalising this distinction to g-measures versus Gibbs measures, where, instead of a Markovian dependence, the weaker property of continuity (in the product topology) is considered. In particular I will discuss when the two descriptions (one-sided or two-sided) produce the same objects and when they are different. We show moreover the role one-dimensional entropic repulsion plays in this setting. Based on joint work with R. Bissacot, E. Endo and A. Le Ny, and S. Shlosman ________________________________ Zoom link https://unibo.zoom.us/s/98736182682?zak=eyJ6bV9za20iOiJ6bV9vMm0iLCJhbGciOiJ… Join our Cloud HD Video Meeting<https://unibo.zoom.us/s/98736182682?zak=eyJ6bV9za20iOiJ6bV9vMm0iLCJhbGciOiJ…> Zoom is the leader in modern enterprise video communications, with an easy, reliable cloud platform for video and audio conferencing, chat, and webinars across mobile, desktop, and room systems. Zoom Rooms is the original software-based conference room solution used around the world in board, conference, huddle, and training rooms, as well as executive offices and classrooms. Founded in 2011, Zoom helps businesses and organizations bring their teams together in a frictionless environment to get more done. Zoom is a publicly traded company headquartered in San Jose, CA. unibo.zoom.us

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"SPDEs & friends" May 30, June 1-2
by Luisa Andreis 05 May '21

05 May '21

Dear colleagues, I forward this workshop announcement I’ve just received. Best regards, Luisa Andreis %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Dear all, We are organizing an online workshop on SPDEs which will take place from May 31st-June 2nd and feature many prominent speakers (Sandra Cerrai, Dan Crisan, Nina Holden, Nicolai Krylov, Jonathan Mattingly, Nicolas Perkowski, Jeremy Quastel, etc). http://page.math.tu-berlin.de/~tapia/spdes/ <https://l.facebook.com/l.php?u=http%3A%2F%2Fpage.math.tu-berlin.de%2F~tapia…> The basic plan is to have six 35-minute talks by different speakers per day, and each talk will be followed by a 15-minute discussion session. The participation is open to everyone, but for organizational purposes we would like to ask people who are interested in attending the workshop to complete the registration form https://forms.gle/G9Xw942iVNNgB4SLA <https://forms.gle/G9Xw942iVNNgB4SLA?fbclid=IwAR3iCpxoI2ACqgqUoSBjxpFsA8_2R1…> Please feel free to forward this email to interested friends, students, collaborators, and colleagues of yours! We are looking forward to seeing you at the event. Best regards, The organizers Oleg Butkovsky Peter Friz Nikolas Tapia

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Fwd: [owps] OWPS: talks tomorrow
by Faggionato, Alessandra 05 May '21

05 May '21

Buongiorno giro l'annuncio del OWPS di domani. Saluti Alessandra ---------- Forwarded message --------- Da: One World Probability <ow.probability(a)gmail.com> Date: mer 5 mag 2021 alle ore 08:12 Subject: [owps] OWPS: talks tomorrow To: <owps(a)lists.bath.ac.uk> Dear All, we have two talks tomorrow. Remember that we start 14:00 UTC which is 16:00 CET! 14:00-15:00 UTC Christina Goldschmidt The stable graph: the scaling limit of critical random graphs with i.i.d. random degrees having power-law tails Abstract: Consider a graph with label set \{1,2, \ldots,n\} chosen uniformly at random from those such that vertex i has degree D_i, where D_1, D_2, \ldots, D_n are i.i.d. strictly positive random variables. The condition for criticality (i.e. the threshold for the emergence of a giant component) in this setting is E[D^2] = 2 E[D], and we assume additionally that P(D = k) \sim c k^{-(\alpha + 2)} as k tends to infinity, for some \alpha \in (1,2). In this situation, it turns out that the largest components have sizes on the order of n^{\alpha/(\alpha+1)}. Building on earlier work of Adrien Joseph, we show that the components have scaling limits which can be related to a forest of stable trees (à la Duquesne-Le Gall-Le Jan) via an absolute continuity relation. This gives a natural generalisation of the scaling limit for the Erd\H{o}s-Renyi random graph (obtained in collaboration with Louigi Addario-Berry and Nicolas Broutin a few years ago, extending results of Aldous), which we call the stable graph. This complements recent work on random graph scaling limits by various authors including Bhamidi, Broutin, Duquesne, van der Hofstad, van Leeuwaarden, Riordan, Sen, M. Wang and X. Wang. 15:00 - 16:00 UTC Bénédicte Haas Distributional properties of the stable graphs Abstract: In this talk we will investigate some distributional properties of the connected components of the stable graphs introduced by Christina in the previous talk. We recall that for $\alpha \in (1,2]$, the $\alpha$-stable graph arises as the universal scaling limit of critical random graphs with i.i.d. degrees having an $\alpha$-dependent power-law tail behavior. Consider a connected component of such a graph. Our aim will be: (1) to describe the distribution of its kernel and more generally of its discrete finite-dimensional marginals, (2) to explicit its distribution as a collection of $\alpha$-stable trees glued on the kernel, and (3) present a line-breaking construction, in the same spirit as Aldous’ line-breaking construction of the Brownian CRT. Based on a joint work with Christina Goldschmidt and Delphin Sénizergues. The Zoom link is on the OWPS webpage. It can also be accessed directly via Zoom-link: https://tum-conf.zoom.us/j/68722718449 <https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Ftum-conf.…> Meeting ID: 687 2271 8449 Passcode: 054920 We hope to see you tomorrow! Best wishes, Julien and Nina -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 04 May '21

04 May '21

20th INTERNATIONAL CONFERENCE CREDIT 2021 *Compound Risk: Climate, Disaster, Finance, Pandemic * Venice, Italy 23 –24 September 2021 * * *GRETA Associati* (Venice, Italy), *Cattolica Assicurazioni* (Verona, Italy), *European Datawarehouse *(Frankfurt, Germany), *European Investment Bank* (Luxembourg), *European Investment Fund *(Luxembourg) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 23-24, 2021. The Conference CREDIT 2021 will bring together academics, practitioners and PhD students working in various areas of financial and credit risk with the aim to create a unique opportunity for participants to discuss research progress and policy and industry-relevant insights as well as directions for future research. Credit 2021 is the *twentieth *in a series of events dedicated to various aspects of credit risk and organised under the auspices of the *Department of Economics* and *VERA - Venice centre in Economic and Risk Analytics for public policies - of the Ca’ Foscari University of Venice*, *ABI - Italian Banking Association*,***AIAF - Associazione Italiana per l'Analisi Finanziaria* and the *Joint Research Center, European Commission* (Ispra, Italy). The theme of this year’s conference is the relation between financial risk on the one hand and pandemic, climate and disaster risk, on the other hand, with particular attention to the possible compounding of different sources of risk. The past year, 2020, has been marked by the still-ongoing COVID-19 pandemic crisis, which has shown how fragile our economic systems can be when confronted with shocks that threaten public health and the closeness of the connections between economic and financial risks and public policy. Climate change is now widely recognized as a new source of financial risk which is relevant both at the level of households and individual institutions and the systemic level. In particular, the many central banks and financial institutions that have joined the Network for Greening the Financial System (NGFS) have issued recommendations on how to integrate climate considerations into risk management strategies and practices. However, risks such as pandemics and climate change do not occur in isolation but can also compound, as has already been seen in several countries. The compounding of risk, which is currently poorly understood, increases the complexity of risk assessment and risk management, and it has implications for socio-economic development, as well as for public debt sustainability. In the EU, these aspects have major implications for efforts to increase the resilience of the economy to future shocks and to “build back better”, and requires the alignment of COVID-19 recovery policies, such as those supported by the NextGenerationEU, and the EU Green Deal and the Paris Agreement targets. The organizers of CREDIT 2021 encourage submissions on a range of topics of relevance to this year’s theme including: finance and COVID-19; finance and climate risks; finance and compound COVID-19 and climate risks. In particular, submissions are welcome in the following areas: • INVESTMENTS: Sustainable Finance, Disaster risk finance; Finance 4 good; public finance; blended finance. • POLICIES: Climate Policies, European Green New Deal; Next Generation EU; Recovery Plan. • INFORMATION: Data gaps; modelling challenges; risk transmission channels; uncertainty; complexity. The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Vittoria Colizza *(INSERM, France), *Robert Engle *(Stern Business School, New York University) and *Roberto Rigobon* (MIT Sloan School of Management) who will deliver keynotes, respectively on finance and on epidemics. The Conference will also feature panel discussions on researchers', practitioners' and policy makers’ views of the major issues at stake. The SCIENTIFIC COMMITTEE for the Conference consists of: • * Stefano Battiston *(Ca’ Foscari University of Venice & University of Zurich, Programme Chair) • * Monica Billio *(Ca’ Foscari University of Venice & GRETA) • * Francesca Campolongo *(Joint Research Center, European Commission) • *Vittoria Colizza* (INSERM, France) • * Helmut Kraemer-Eis* (European Investment Fund) • * Jan Pieter Krahnen* (Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt) • *Irene Monasterolo *(Vienna University of Economics and Business) • *Steven Ongena* (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) • *Roberto Rigobon* (MIT Sloan School of Management) • *Stephen Schaefer* (London Business School) CALL FOR PAPERS Those wishing to present a paper at the Conference should submit by *May 31, 2021 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 30, 2021*. The final version of accepted papers must be received by August 31, 2021. Please send papers to: GRETA Associati, San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - e-mail: credit(a)greta.it <mailto:credit@greta.it> More detailed information available on the Conference website: https://www.greta.it/index.php/it/credit-2021 <https://www.greta.it/index.php/it/credit-2021>

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