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Cambridge Finance Workshop - Hubert Kempf

Cambridge Finance Workshop Series are usually held on Thursdays during term time. The workshops are an opportunity for those working in finance to present their latest results or papers.
When Nov 22, 2018
from 12:30 PM to 01:30 PM
Where Room W4.05, Cambridge Judge Business School
Contact Name
Contact Phone 01223768129
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Professor Hubert Kempf (Ecole Normale Superieure de Cachan)CESifo Research Network Fellow.

Title: "Crisis, contagion and containment policies in financial networks : A dynamic approach"

Abstract: 

We study the dynamics of a connected banking sector where the financial links between banks are explicitly modelled, including the liquidation procedures in the case of the failure of an individual bank. We use network theory so as to study the propagation of a shock within the sector, with an arbitrary number of banks, explicit balance sheets evolving over time, depending on the failing of connected banks This model of banking network allows us to simulate the bankruptcy contagion process and quantify the extent of a banking crisis. It also allows us to assess various forms of prudential policies.

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