Stochastic Modeling of Dependence: Systems under Stress
Coordinators: Johan Segers (ISBA, UCL), Luc Bauwens (CORE, UCL), Christian Hafner (ISBA and CORE, UCL), Sébastien Van Bellegem (CORE, UCL) and Rainer Von Sachs (ISBA, UCL)
Date: 01/10/2012 - 30/09/2017
The project concerns fundamental research on statistical and econometric models for dependence. The aim of the project is to construct new ways of measuring and modeling risks in systems with intricate dependence structures. Particular attention is to be paid to such systems upon the arrival of shocks, after structural breaks; or when comovements between risk factors are higher than usual.
Financial Complex Systems
Coordinators: Sophie Béreau (CORE and ILSM, UCL), Oscar Bernal (Université de Namur), Annick Castiaux (Université de Namur), and Jean-Yves Gnabo (Université de Namur)
Date:
The recent financial crisis has emphasized the crucial role of financial institutions in general and of banks in particular for the proper functioning of modern economies. It also revealed their fragility, urging for an effective regulatory framework to be set up. Against this background, the research programme we propose intends to reach two major objectives. (A) In the short and medium term, we plan to conduct a set of specific research projects that should contribute to tackle the formidable intellectual challenges posed by the financial crisis to the academic community. Our research agenda will specifically concur to provide a rationale for understanding contemporaneous financial systemic fragility that would be both theoretically based and supported by empirical validation, in order to help policy makers designing an efficient set of macro-prudential rules. To that aim, we will specifically concentrate on questions regarding (i) the understanding of contagion mechanisms among increasingly interdependent financial entities, (ii) the description of individual behaviors and their interactions in the financial markets, that may foster instability and damage the entire financial system. To address them, we propose a research agenda that gathers various disciplines of hard and social sciences and consists in developing jointly theoretical models related to the broad class of complex systems methods as well as empirical techniques that proper take into account individual interdependences characterizing current banking and financial systems. More specifically, our theoretical approach will be based on network analysis and multi-agent frameworks to better apprehend how complex interconnections between financial agents or institutions may foster financial instability as the global level, as well as heterogeneous agent models (HAM) to explore how nonlinear asset prices dynamics may result from the confrontation of heterogeneous individual behaviors and impact the overall system. From the empirical side, we propose to rely on several econometric models ranging from static to dynamic panel data models with spatial interactions. (B) In the medium and long term, we aim to establish an original pole of expertise in financial complex systems within the "Académie Universitaire Louvain" which would materialize in high-quality research, regular scientific events (workshops, conferences) and teaching activities (doctoral courses, summer schools).