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SUMMARY:Asset correlation and network fragility: How should we intervene? 
 - Kobayashi \, T (Kobe University)
DTSTART:20140903T100000Z
DTEND:20140903T110000Z
UID:TALK54103@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:The question of how to stabilize financial systems has attract
 ed considerable attention since the global financial crisis of 2007-2009. 
 Recently\, Beale et al. (2011) demonstrated that higher portfolio diversit
 y among banks would reduce systemic risk by decreasing the risk of simulta
 neous defaults at the expense of a higher likelihood of individual default
 s. In practice\, however\, a bank default has an externality in that it un
 dermines other banks' balance sheets. In this presentation\, I focus on th
 e interplay between the interbank network and asset correlation structure.
  I argue that regulator's intervention should be designed in a way that ta
 kes into account the mesoscopic features of financial markets.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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