Interconnections in Financial Markets: Theoretical and Empirical Perspectives
26-27 March 2010, Cambridge Judge Business School
The Centre for Financial Analysis & Policy (CFAP) is holding its annual conference. This year's event will be hosted by Lord John Eatwell, Dr Ana Babus and Dr Vanessa Smith.
Modern financial systems are highly interconnected. The recent financial turmoil has been astoundingly successful in unravelling the consequences brought about by the complex system of interactions between financial institutions. While such interdependencies have always been a concern for systemic risk, their role in the current financial crisis was difficult to foresee and largely overlooked. A more complete characterisation of financial markets is therefore required to adequately account for the multitude of interconnections that link financial institutions.
The key challenge of this conference will be in understanding financial interdependencies so as to identify and reduce the associated risks for the economy. We aim to initiate a discussion to address various aspects of financial interconnections such as the role they play in financial crises, informational linkages and their impact on trading decisions, social networks and consumer finance. We are particularly interested in contributions from a wide spectrum of methodologies including contemporary network theory, sociology and epidemiology. The discussions will also address policy and social welfare considerations.
This event aims to:
- bring together leading researchers/academics from the diverse fields related to this area
- discuss and uncover the relevant issues for modern financial systems and the dynamical processes evolving on systems of this kind
- develop new directions, possibly at the intersection of several fields represented at this workshop
Download the full conference programme (pdf, 99KB).
Presentations & Discussions
Friday
- Risk Sharing and Contagion in Networks
Piero Gottardi, European University Institute
Discussant: Vasco Carvalho, CREI
Download presentation (pdf, 187KB) - Measuring Systemic Risk in the Finance and Insurance Sectors
Loriana Pelizzon, University of Venice
Discussant: Andrei Kirilenko, Commodity Futures Trading Commission
Download discussion (pdf, 422KB) - Liquidity Needs in Economies with Interconnected Financial Obligations
Julio Rotemberg, Harvard Business School
Discussant: Hamid Sabourian, University of Cambridge
Download presentation (pdf, 198KB) - Strategic Relationships in Over-the-Counter Markets**
Ana Babus, University of Cambridge
Discussant: Han Ozsoylev, University of Oxford
Download discussion (pdf, 72KB) - Are Networks Priced? Network Topology and Order Trading Strategies in a High Liquidity Market*
Ethan Cohen Cole, University of Maryland
Discussant: Jose Scheinkman, Princeton University
Download discussion (pdf, 68KB) - Reputational Contagion and Optimal Regulatory Forbearance
Lucy White, Harvard Business School
Discussant: Paolo Volpin, London Business School
Download presentation (pdf, 162KB)
Download discussion (pdf, 46KB) - Do banks propagate debt market shocks?
Joao Santos, New York Fed
Discussant: Filipa Sá, University of Cambridge
Download presentation (pdf, 144KB)
Download discussion (pdf, 77KB)
Saturday
- Cross-country Causes and Consequences of the 2008 Crisis: International Linkages and American Exposurex
Mark Spiegel, San Francisco Fed
Discussant: Nikolaos Demiris, Agricultural University of Athens
Download presentation (pdf, 793KB)
Download discussion (pdf, 35KB) - On the Epidemic of Financial Crises**
L. Vanessa Smith, University of Cambridge
Discussant: Peter Neal, Manchester University
Download discussion (pdf, 33KB) - Liquidity Hoarding, Network Externalities and Interbank Market Collapse
Sujit Kapadia, Bank of England
Discussant: Frank Kelly, University of Cambridge
Download presentation (pdf, 555KB)
Download discussion (pdf, 489KB) - Arbitrage Networks
Jean-Pierre Zigrand, London School of Economics
Discussant: Richard Weber, University of Cambridge
Download discussion (pdf, 45KB) - Social Networks and Asset Prices
Antonio Mele, London School of Economics
Discussant: Sanjeev Goyal, University of Cambridge
download presentation (pdf, 760KB)
Download discussion (pdf, 39KB) - Friends in High Places: Social Networks and Politics
Lauren Cohen, Harvard Business School
Discussant: Marco van der Leij, University of Cambridge
Download presentation (pdf, 849KB)
Download discussion (pdf, 139KB) - Discussion Panel
Chair: Rod Garratt, Bank of England
Panel members: John Eatwell, Sheri Markose, Julio Rotemberg, Richard Weber
* Paper available upon request.
** Contact the speaker.