As usual on the last Wednesday of the month, we had two talks last week as part of the Quantitative Finance seminar series at Fields. The first talk was by Rafael Mendonza-Arriaga, who spoke about hybrid credit-equity models using time-changed Levy processes, a fruitful topic that attracted a lot of attention in one of the industrial academic forums that we had during the thematic program last year.
The second talk was by Alfred Lehar, who spoke about a general way to allocate capital requirements for systemic risk. His key message is that capital requirements themselves change the risk profile of a bank and its contribution to the overall risk in the system, so that whichever way one uses to measure systemic risk, the final allocation must be a fixed point of an iterative scheme.
Alfred then visited McMaster the next day where he gave a talk at the De Groote School of Business on the uses of market information for bank regulation.