Systemic Risik - Overview
Understanding and curtailing financial crisis
The latest financial crisis has painfully revealed the importance of a working financial system for the real economy. Many countries are still slowly recovering from the disruption of financial services, not least due to a lack of understanding what caused the near breakdown of financial institutions and how to best counteract the on-going economic downturn.
While practice and research on economic activity and risk management has focused on individual institutions it is only recently widening its view towards systemic interactions. At this level new mechanisms and feedback, some certainly still waiting to be identified, come into play which can threaten the stability of the financial system as a whole. To tackle this problem, research at FIAS takes an interdisciplinary approach drawing on expertise from machine learning, information theory and complex systems.
Our research focuses on:
- Statistical analysis of market fluctuations with methods from information theory and machine learning.
- Analysis of current econophysics models with regard to their dynamic behaviour to reveal the mechanisms driving large market fluctuations.
- Programming of algorithms on risk tracking and -assignment in financial networks.
- Identification of physical analogies and conserved quantity in financial networks.