Public Lecture organized in partnership with Centre de recherches mathématiques in the framework of the thematic semester "Risk and Complex Systems"
Dr Peter Raupach (Deutsche Bundesbank Research Center) presented. In the study of contagion effects, it is essential to have a proper model for the (typically correlated) exogenous risks that hit the system before contagion starts. This aspect is also important for stress testing, particularly for the way in which stress scenarios are selected.