On behalf of the Scientific Committee of the de Finetti Risk
Seminars, we are glad to invite you to participate at the following
Lectures
at 16:30: Conditional systemic risk measures
Thilo Meyer-Brandis (LMU
Munich)
ABSTRACT
The financial crisis has demonstrated that systemic risk
due to the interconnectedness of financial-market
participants - such as financial institutions, insurers,
governments and, even, regulators themselves - can dramatically
amplify the consequences of isolated shocks to financial
systems and pose a serious threat to prosperity and social
stability.The traditional approach to risk control in
financial mathematics is to apply risk measures to single
institutions. However, this strategy fails to capture
systemic risk because it treats institutions as if they were in
isolation, and recent literature in financial mathematics
has started to develop various approaches to rectify this
deficiency. In this presentation we will axiomatically
introduce and characterize risk-consistent conditional systemic
risk measures. This class of conditional systemic risk
measures is defined on multidimensional risks and consists of
those conditional systemic risk measures which can be
decomposed into a state-wise conditional aggregation and a
univariate conditional risk measure. Our studies are based
on the axiomatic characterization in [Chen et al., 2013] of a
similar class of systemic risk measures in a finite state
and unconditional framework. We argue in favor of a
conditional framework on general probability spaces for
assessing systemic risk. Moreover, we allow for very general
aggregation rules, a less restrictive axiomatic setting,
and thus a more flexible structure which covers many
prominent examples of systemic risk measures from the
literature and used in practice. Further, we will see how this
type of systemic risk measures naturally arises when
considering families of consistent conditional systemic risk
measures and discuss some examples.
at 18:00: Mathematical models
for the formation of financial bubbles
Francesca Biagini (LMU Munich)
ABSTRACT
The notion of an asset price bubble has two ingredients.
One is the observed market price of a given
financial asset, the other is the asset's intrinsic value,
and the bubble is defined as the difference between the two.
The intrinsic value, also called the fundamental value of
the asset, is usually defined as the expected sum of future
discounted dividends. In the first part of the talk we
study a flow in the space of equivalent martingale measures and
focus on the corresponding shifting perception of the
fundamental value of a given asset in an incomplete financial
marketmodel. This allows us to capture the birth of a
perceived bubble and to describe it as an initial submartingale
which then turns into a supermartingale before it falls
back to its initial value zero. In the second part of the talk we
examine the impact of overconfidence on bubbles formation
in the framework of reduced-form models for credit risk.
We assume that the wealth associated to a defaultable
asset may be strongly affected by the trading activity of
overconfident investors, who believe the asset to be safe
and provoke an alteration of its estimated value. Since the
value process changes under this influence, the underlying
pricing measure has also to readapt determining a switch
in the space of the equivalent martingale measures. In
this way we provide a constructive approach to explain bubbles
formation as well as motivate a dynamics in the space of
equivalent martingale measures at micro-economic level.
LOCATION:
The seminar will be held on Wednesday,
November 19, starting from 16.30, Aula di rappresentanza, Dept. of Mathematics,
Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at
17.30.
Scientific Committee:
Prof. Marco Frittelli (Univ.
degli Studi di Milano)
Prof. Fabio Maccheroni (Univ. Bocconi)
Prof.
Massimo Marinacci (Univ. Bocconi)
Prof. Emanuela Rosazza Gianin (Univ.
Milano-Bicocca)
Dott. Simone Cerreia-Voglio (Univ. Bocconi)
Dott. Marco
Maggis (Univ. degli Studi di
Milano)
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Emanuela
Rosazza Gianin
Dipartimento di Statistica e Metodi Quantitativi Università di
Milano Bicocca
Edificio U7 – 4° Piano
Via Bicocca degli Arcimboldi,
8
20126 Milano
Tel. 02 64483208
Fax. 02 64483105
e-mail:
emanuela.rosazza1@unimib.it
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