Systemic risk is the risk of collapse of an entire financial system or entire market â€” as opposed to risk associated with any individual entity, group or component of the system. Systemic risk may arise from common risk exposures, counterparty risk, balance sheet contagion, fire sales or other contagion mechanisms.
In banking and insurance, risk assessment is a major concern for managers and regulators. The computation of solvency requirements within regulatory frameworks such as Basel III and Solvency II requires accurate modeling of the risks inherent to high-dimensional portfolios. Continue reading
Rydges Hotel, Melbourne 8-12 July 2013 An Australian Academy of Science Elizabeth and Frederick White Conference This conference is the central scientific event of MPE Australia 2013, bringing together the scientific community to address the mathematical contribution to the challenges of … Continue reading
The central objective of the program is to gather researchers in stochastic analysis, mathematical finance, financial economics, and insurance mathematics to exchange ideas on the current state-of-the-art in commodities and environmental finance. This will be accomplished by three 5-lecture Short … Continue reading