The Systemic Risk Centre at LSE – Intellectual Partners Programme

THE SYSTEMIC RISK CENTRE AT LSE

The LSE / SRC Intellectual Partners Programme – IPP

Intellectual Partnership Benefits Suggest research topics to the SRC’s Scientific Advisory Board Analyse past, current and future research and its impact on business / industry, policy development and direction Explore specific research ideas & techniques with SRC researchers Attend LSE / SRC talks, seminars and invitation-only breakfast meetings with thought leaders, senior policy developers and decision makers Propose speakers for seminars Participate in the annual IPP members only seminar

IPP+ Bespoke in-house seminars Joint research

Jointly organised and branded conferences, for example “The Annual SRC & IPPCo Conference on Procyclicality” Secondment opportunities for IPP and SRC researchers SRC research support

www.systemicrisk.ac.uk

The SRC A store of knowledge and a source of paradigm shifting ideas backed by rigorous and independent research

A constellation of affiliated researchers with a variety of skills and interests held together by the “intellectual gravity” of the centre directors, the centre research staff and the LSE itself

A prominent research voice informing central bank and regulatory policy development and direction

A vibrant team set in the heart of one of the world’s great teaching universities

A respected, impartial, informed and intelligent commentator An outstandingly productive research centre: 358 publications, 31 opinion pieces, 51 seminars, 60 conferences, workshops and public lectures since inception in 2013 A network forum connecting diverse people, companies and institutions to meet, discuss and exchange ideas in an academic setting

A gateway to some of the world’s most talented students

Fintech

Central banks Regulators and policymakers

Financial infrastructure

Risk analysis companies

Asset managers

Data and technology vendors

Hedge funds

Insurance companies

Academic institutions Financial journalists

Banks

SRC Research impact Learning from History: Volatility and Financial Crises adownload Jon Danielsson, Marcela Valenzuela and Ilknur Zer.

Was Minsky right? Does low risk cause future crises?

This paper finds strong support for the idea that low volatility sharply increases the chance of crises 5 to

The Future of Computer Trading in Financial Markets. An International Perspective. Final Project Report (2010-2012) adownload Jean-Pierre Zigrand with Charles Goodhart,

Oliver Linton, Dave Cliff, Philip Bond, Kevin Houstoun,

10 years in the future.

and Andy Haldane, chaired by Dame Clara Furse

Why risk is so hard to measure adownload

The first comprehensive and in-depth study of

Jon Danielsson and Chen Zhou.

We rely on risk measurements / estimates for all sorts of applications, from internal risk management to macro prudential regulations. But do we measure risk accurately?

This paper finds that risk is measured / estimated much less accurately than commonly thought, and that risk controls can be easy to bypass.

Model Risk of Risk Models adownload Jon Danielsson, Kevin James, Marcela Valenzuela and Ilknur Zer. Model risk refers to the risk of bad outcomes when using models for decisions. This paper finds substantial model risk associated with macro prudential policies, financial regulations and bank capital calculations, which creates significant risk of unexpected adverse outcomes.

Marking to Market versus Taking to Market adownload Guillaume Plantin and Jean Tirole.

This paper identifies the conditions under which cost accounting is preferable to market-value accounting based on the quality of data, and how this feeds into better market liquidity.

Financial Transaction Taxes and the Informational Efficiency of Asset Markets: A Structural Estimation adownload Andreas Uthemann with Marco Cipriani and Antonio Guarino.

Financial transaction taxes will likely adversely affect the efficiency of financial markets and the provision of liquidity.

and Sir John Beddington. computer-based trading with 40 academic papers underpinning the report that had a significant impact on regulatory thinking and on the law.

Are asset managers systemically important? adownload Jon Danielsson and Jean-Pierre Zigrand.

This paper argues that the role of asset managers as possible counter-cyclical agents is a valuable and crucial one, while identifying a simple test to check whether asset managers or asset-owners would be the right point of regulatory entry in case of a potential intervention when faced with destabilising dynamics.

What do Network Theory and Endogenous Risk Theory have to say about the effects of CCPs on Systemic Stability? adownload

Jean-Pierre Zigrand, Banque de France Financial Stability Review 14, 2010.

By relying on endogenous risk and network theory, Dr Zigrand argues that CCPs may well create both more and novel pro-cyclical collateral sales compared to OTC, and that multiple fragmented CCPs make this more pronounced still.

Regulating Hedge Funds adownload Jean-Pierre Zigrand and Jon Danielsson,

Banque de France Financial Stability Review – Special Issue on Hedge Funds 10, 2007.

This is perhaps the first paper looking at the economics of hedge fund regulation, with a caution that some of the contemplated regulations remove the social benefits of hedge funds as a counter-cyclical force.

THE SYSTEMIC RISK CENTRE AT LSE

Finance: Culture Politics Networks Procyclicality Policy

Risk: Systemic Endogenous Amplification Policy response

Networks between financial institutions

Regulation and impact on the regulated Central banks IMF Banks Insurers Asset Managers Hedge Funds CCPs

Capital Markets Union (CMU) Financial Transaction Tax Practitioner risk pricing

www.systemicrisk.ac.uk

SRC Future research

Blockchain Distributed ledger Fintech RegTech

Amplification: Counterparty Liquidity Credit Network Firesale

Published by Systemic Risk Centre The London School of Economics and Political Science Houghton Street London WC2A 2AE Š Systemic Risk Centre 2017