Keywords
Systemic risks, financial mathematics, actuarial
models, financial modelling, banking stability, financial
crises, risk sharing, ruin theory, macro-prudential
regulation, control and system theory, financial
econometrics, monetary policy
Expertise
Research on systemic risks in economic and financial
markets is a relatively new area. While the theory of
risk-taking behaviour of single entities is quite developed,
systemic aspects of financial and economic risks are
not. The University of Liverpool has a strong group of
researchers in the area of economics, finance, and
econometrics with a strong track record in the area of
monetary economics, finance, banking, and financial
econometrics.
The University has established the Institute for Financial
and Actuarial Mathematics to enhance, support and
stimulate the research in corresponding mathematical
techniques, which have become increasingly important
in the daily business of banks and insurance companies.
To further enhance collaboration between these and
other disciplines such as engineering and sociology,
the University has launched the Institute for Risk
and Uncertainty.
We are developing expertise in the analysis of these
complex financial and economic systems to model risk
(
and identify the potential impacts of any failures) in these
multi-agent, macro-scale systems.
Our research relies in part on our expertise in actuarial
science and mathematical finance. We have staff with
expertise in a wide variety of different methodologies
including mathematical finance (computational methods,
derivative pricing, catastrophe (CAT) bonds, Greeks),
actuarial science (PAYGO social security system, robust
analysis, Bonus-Malus system, modelling), risk theory
(
ruin probabilities, modelling dependency between risks),
and stochastic optimisation (optimal dividend strategies),
among others.
We regularly organise seminars, workshops and
conferences to stimulate the research environment
and encourage mutually beneficial discussion and
knowledge exchange between academics and
financial practitioners.
The global financial crisis is at the top of today’s
international policy agendas. Research into the
stability of financial systems and into the
effectiveness of crisis intervention policies can help
external organisations address two main issues:
How can a society be protected against
insolvencies caused by large unexpected losses
in the financial sector?
Which policies are best suited to work out financial
crises triggered by insolvencies?
Capabilities and facilities
•
Analysis and modelling of high risk decision
making processes
•
Systemic risk analysis and modelling of complex
financial and economic systems
•
Finance and financial econometrics
•
Actuarial science
•
Risk theory
•
Mathematical finance
•
Stochastic optimisation theories.
Relevant centres and groups
•
Institute for Risk and Uncertainty
•
Institute for Financial and Actuarial Mathematics.
117
1.3
Systemic risk in economic and financial systems
Also see:
Digital Technologies –
3.1
Computational markets and agent-
based modelling, page 152
Management & Enterprise –
3.
Accountability, regulation and
governance, page 161
7.
Finance and economics, page 164
For further information
on all our specialist
centres, facilities and
laboratories
go to page
179
Risk, Safety & Security
