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Econophysics of Systemic Risk and Network Dynamics
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Systemic risk has long been identified as a potential for financial institutions to
trigger a dangerous contagion mechanism from the financial economy to the real
economy itself. One of the commonly adopted definitions of systemic risk is: “risk
of disruption to the flow of financial services that is
(i) caused by an impairment of all or parts of the financial system; and
(ii) has the potential to have serious negative consequences for the real economy”.
Evident from this definition, or from any of its variants that one can find in the growing
literature on the subject, are two characteristic aspects. The first one being that
such a risk takes place at a much larger scale than that of an individual institution.
The second one being that it eventually spreads to the real economy outside the financial
system through various “leakage” mechanisms, of which the last crisis has
given some examples: liquidity shrinkage, fire sale of assets, drop in market value
of derivatives. . .
This type of risk, long confined to the monetary market, has spread widely in the
recent past, culminating in the subprime crisis of 2008. The understanding and control
of systemic risk has therefore become an extremely important societal and economic
question. Such problems are now extensively being studied by people from
disciplines like economics, finance and physics. The contributions by physicists are
relatively new.
The Econophys-Kolkata VI conference, the 6th event in this series of international
conferences, held during October 21–25 last year, was dedicated to address
and discuss extensively these issues and the recent developments. Like the last event
in the series, this one was also organized jointly by the École Centrale Paris and the
Saha Institute of Nuclear Physics, and was held at the Saha Institute of Nuclear
Physics, Kolkata.
This proceedings volume contains the written versions of most of the talks and
seminars delivered by distinguished experts from all over the world, participating in
the meeting, and accepted after refereeing. For some completeness in the cases of
one or two important topics (like in the case Many-agent Games), some reviews, by
experts who could not attend, were invited and incorporated in this volume.
Frédéric Abergel - Personal Name
Bikas K. Chakrabarti - Personal Name
Anirban Chakraborti - Personal Name
Asim Ghosh - Personal Name
Bikas K. Chakrabarti - Personal Name
Anirban Chakraborti - Personal Name
Asim Ghosh - Personal Name
978-88-470-2553-0
NONE
Econophysics of Systemic Risk and Network Dynamics
Banking And Finance
English
Springer-Verlag Italia
2013
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