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Conference: Centrality-based Capital Allocations

CIRANO

Monday 25 Sep 2017
From 12PM To 2PM

Event organized in collaboration with

 

 

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.

Location


1130 Rue Sherbrooke O #1400, Montréal, QC H3A 2M8, Canada