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Archive for October 2012

Mathematics in Finance: Systemic Risk

At the SIAM Annual Meeting held in Minneapolis in July, Dr. George Papanicolaou of Stanford University surveyed a topic of great relevance today—models for systemic risk and the implications that can be drawn from them. Laying out the picture of an evolving system with a large number of interconnected components, he described Systemic Risk as the probability of overall failure of the system. Papanicolaou spoke about the effect of electronic trading and automated exchanges increase in increased liquidity and risk, illustrating the significance of systemic risk in current mathematical finance research.

Watch a brief video overview of his talk and interview:

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