Systemic Risk and Financial Contagion

 

Description:

The recent financial crises has shown a dramatic lack of understanding of the risks resulting from the existing network structure in modern financial markets. In this domain, we design new network-based models for capturing financial dependencies and the resulting inherent systemic risk. The models extend and adjust existing preliminary approaches, e.g., by incorporating strategic aspects of insolvency resolution. Moreover, we will apply network-based models to capture and express the value of financial actors in the presence of financial dependencies among them. To capture systemic risk in these valuations, we will rely on existing measures for portfolio risk (such as Greeks, partial derivatives with respect to key parameters) and explore their extension to networks.

 

Staff:

 

Publications:

  1. Yannick Gerstorfer, Max Hahn-Klimroth and Lena Krieg.
    A Notion of Feature Importance by Decorrelation and Detection of Trends by Random Forest Regression.
    Data Sci. J. 22, 2023.
    BibTeX

    @article{DBLP:journals/datascience/GerstorferHK23,
	author = "Yannick Gerstorfer and Max Hahn{-}Klimroth and Lena Krieg",
	title = "A Notion of Feature Importance by Decorrelation and Detection of Trends by Random Forest Regression",
	journal = "Data Sci. J.",
	volume = 22,
	year = 2023
}

  2. Nils Bertschinger, Martin Hoefer, Simon Krogmann, Pascal Lenzner, Steffen Schuldenzucker and Lisa Wilhelmi.
    Equilibria and Convergence in Fire Sale Games.
    In 22nd International Conference on Autonomous Agents and Multiagent Systems, AAMAS 2023, London, United Kingdom, 29 May - 2 June, 2023. 2023.
    URL BibTeX

    @inproceedings{toappear/nlpa,
	author = "Nils Bertschinger and Martin Hoefer and Simon Krogmann and Pascal Lenzner and Steffen Schuldenzucker and Lisa Wilhelmi",
	title = "Equilibria and Convergence in Fire Sale Games",
	booktitle = "22nd International Conference on Autonomous Agents and Multiagent Systems, {AAMAS} 2023, London, United Kingdom, 29 May - 2 June, 2023",
	note = "Accepted to AAMAS 2023",
	url = "https://doi.org/10.48550/arXiv.2206.14429",
	year = 2023
}

  3. Nils Bertschinger and Axel A Araneda.
    Cross-ownership as a structural explanation for rising correlations in crisis times.
    CoRR abs/2112.04824, 2021.
    URL, DOI BibTeX

    @article{https://doi.org/10.48550/arxiv.2112.04824,
	doi = "10.48550/ARXIV.2112.04824",
	url = "https://arxiv.org/abs/2112.04824",
	author = "Bertschinger, Nils and Araneda, Axel A.",
	keywords = "Mathematical Finance (q-fin.MF), FOS: Economics and business, FOS: Economics and business",
	title = "Cross-ownership as a structural explanation for rising correlations in crisis times",
	journal = "CoRR",
	year = 2021,
	volume = "abs/2112.04824",
	copyright = "arXiv.org perpetual, non-exclusive license"
}

  4. Nils Bertschinger, Martin Hoefer and Daniel Schmand.
    Strategic Payments in Financial Networks.
    In 11th Innovations in Theoretical Computer Science Conference, ITCS 2020, January 12-14, 2020, Seattle, Washington, USA 151. 2020, 46:1–46:16.
    URL, DOI BibTeX

    @inproceedings{DBLP:conf/innovations/BertschingerHS20,
	author = "Nils Bertschinger and Martin Hoefer and Daniel Schmand",
	title = "Strategic Payments in Financial Networks",
	booktitle = "11th Innovations in Theoretical Computer Science Conference, {ITCS} 2020, January 12-14, 2020, Seattle, Washington, {USA}",
	series = "LIPIcs",
	volume = 151,
	pages = "46:1--46:16",
	publisher = {Schloss Dagstuhl - Leibniz-Zentrum f{\"{u}}r Informatik},
	year = 2020,
	url = "https://doi.org/10.4230/LIPIcs.ITCS.2020.46",
	doi = "10.4230/LIPIcs.ITCS.2020.46",
	timestamp = "Fri, 26 Mar 2021 08:28:32 +0100",
	biburl = "https://dblp.org/rec/conf/innovations/BertschingerHS20.bib",
	bibsource = "dblp computer science bibliography, https://dblp.org"
}