Lab Home | Phone | Search
Center for Nonlinear Studies  Center for Nonlinear Studies
 Home 
 People 
 Current 
 Executive Committee 
 Postdocs 
 Visitors 
 Students 
 Research 
 Publications 
 Conferences 
 Workshops 
 Sponsorship 
 Talks 
 Seminars 
 Postdoc Seminars Archive 
 Quantum Lunch 
 Quantum Lunch Archive 
 P/T Colloquia 
 Archive 
 Ulam Scholar 
 
 Postdoc Nominations 
 Student Requests 
 Student Program 
 Visitor Requests 
 Description 
 Past Visitors 
 Services 
 General 
 
 History of CNLS 
 
 Maps, Directions 
 CNLS Office 
 T-Division 
 LANL 
 
Thursday, September 27, 2012
2:00 PM - 3:00 PM
T-DO Conference Room Bldg 123, Room 121

Postdoc Seminar

Market impact, overlapping portfolios and financial contagion

Fabio Caccioli
Santa Fe Institute

By means of a stylized model, we discuss the role of market impact and portfolio overlaps as a mechanism for stress propagation in financial networks. We present results of different stress tests, and in particular we consider the response of the system to (i) the presence of a toxic asset, (ii) the failure of a financial institution. Our analysis shows that the probability of financial contagion is a non-monotonic function of both the average diversification of financial institutions and market crowding, while more leverage increases the overall instability of the system. Moreover, the system is shown to exhibit a robust yet fragile'' behavior, with situations where the probability of contagion is very small but the whole system is shut down if contagion happens.

Host: Aric Hagberg, CNLS, 667-1444, hagberg@lanl.gov