Systemic Risk and Network Formation in the Interbank Market

We propose a novel mechanism to facilitate understanding of systemic risk in financial markets. The literature on systemic risk has focused on two mechanisms, common shocks and domino-like sequential default. Our approach is a formal model that provides an intellectual combination of the two by looking at how shocks propagate through a network of interconnected banks. Transmission in our model is not based on default. Instead, we provide a simple microfoundation of banks’ profitability based on classic competition incentives. As competitors lending quantities change, both for closely connected ones and the whole market, banks adjust their own lending decisions as a result, generating a ‘transmission’ of shocks through the system. We provide a unique equilibrium characterization of a static model, and embed this model into a full dynamic model of network formation with n agents. Because we have an explicit characterization of equilibrium behavior, we have a tractable way to bring the model to the data. Indeed, our measures of systemic risk capture the propagation of shocks in a wide variety of contexts; that is, it can explain the pattern of behavior both in good times as well as in crisis.Financial networks; interbank lending; interconnections; network centrality; spatial autoregressive models

Decision under Uncertainty : the Classical Models

This chapiter of a collective book is dedicated to classical decision models under uncertainty, i.e. under situations where events do not have "objective" probabilities with which the Decision Marker agrees. We present successively the two main theories, their axiomatic, the interpretation and the justification of their axioms and their main properties : first, the general model of Subjective Expected Utility due to Savage (Savage, 1954), second, the Anscombe-Aumann (1963) theory, in a different framework. Both theories enforce the universal use of a probabilistic representation. We then discuss this issue in connection with the experimental result known as the Ellsberg paradox.Uncertainty, subjective probability, Subjective Expected Utility, Savage, Anscombe and Aumann, Ellsberg paradox.

Multigrain Affinity for Heterogeneous Work Stealing

International audienceIn a parallel computing context, peak performance is hard to reach with irregular applications such as sparse linear algebra operations. It requires dynamic adjustments to automatically balance the workload between several processors. The problem becomes even more complicated when an architecture contains processing units with radically different computing capabilities. We present a hierarchical scheduling scheme designed to harness several CPUs and a GPU. It is built on a two-level work stealing mechanism tightly coupled to a software-managed cache. We show that our approach is well suited to dynamically control heterogeneous architectures, while taking advantage of a reduction of data transfers

Two dimensional Leidenfrost Droplets in a Hele Shaw Cell

We experimentally and theoretically investigate the behavior of Leidenfrost droplets inserted in a Hele-Shaw cell. As a result of the confinement from the two surfaces, the droplet has the shape of a flattened disc and is thermally isolated from the surface by the two evaporating vapor layers. An analysis of the evaporation rate using simple scaling arguments is in agreement with the experimental results. Using the lubrication approximation we numerically determine the shape of the droplets as a function of its radius. We furthermore find that the droplet width tends to zero at its center when the radius reaches a critical value. This prediction is corroborated experimentally by the direct observation of the sudden transition from a flattened disc into an expending torus. Below this critical size, the droplets are also displaying capillary azimuthal oscillating modes reminiscent of a hydrodynamic instability

Histoires pragmatiques

Roberto Gronda & Tullio Viola – Your work is frequently referred to as “pragmatic history.” This notion, however, is by no means a new one: Polybius spoke of pragmatikê historia, Germany had pragmatische Geschichte in the tradition of Kantian anthropology. Can you tell us something about how you understand this label, and about your own encounter with “pragmatic history”? Simona Cerutti – Personally, I had quite an idiosyncratic introduction to pragmatic history, although this encounter was n..

Histoire de l’action et des rationalités pratiques au XXe siècle

Yves Cohen, directeur d’études Identification et temporalités d’une histoire de l’action Cette année, pour poursuivre (sans prétendre le clore) l’établissement d’une histoire de l’action, le séminaire s’est découpé en trois parties. L’une s’est intéressée à Staline comme grand chef en action, étudié à partir du matériel de son bureau : correspondances, notes manuscrites, gribouillis compris, matériaux d’information comme des rapports, etc. Nous avons établi ce que nous désirons appeler des « ..

Tamara Kondratieva, éd., Les Soviétiques

Ce livre est important. En quatorze chapitres rédigés par des historiens confirmés presque tous originaires de l’ex-URSS, il propose une image nouvelle de l’histoire de l’Union soviétique et de la vie de ses citoyens. L’angle d’approche porte sur les « régimes », terme un peu difficile à appréhender pour des francophones : il ne s’agit pas du régime politique, mais de différents ensembles de règles qui régissent l’activité et le comportement des personnes ou des choses dans des domaines spéci..