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Aymanns, Christoph - 2015

Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic interactions. We investigate a simple dynamical model for understanding this tradeoff, consisting of a bank with a...

Persistent link: https://www.econbiz.de/10013019357

Taming the Basel leverage cycle

Aymanns, Christoph; Caccioli, Fabio; Farmer, J. Doyne; … - In: Journal of financial stability 27 (2016), pp. 263-277

Persistent link: https://www.econbiz.de/10011705722

Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels

Wiersema, Garbrand - 2020

Currently financial stress test simulations that take into account multiple interacting contagion mechanisms are conditional on a specific, subjectively imposed stress-scenario. Eigenvalue-based approaches, in contrast, provide a scenario-independent measure of systemic stability, but only...

Persistent link: https://www.econbiz.de/10012848838

Resilient and inclusive prosperity within planetary boundaries

Hepburn, Cameron; Beinhocker, Eric D.; Farmer, J. Doyne; … - In: China & world economy 22 (2014) 5, pp. 76-92

Persistent link: https://www.econbiz.de/10010391929

The Intrafirm Complexity of Systemically Important Financial Institutions

Lumsdaine, Robin L. - 2020

In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 “systemically important financial institutions” (SIFIs, now referred to as “globally systemically important banks” or G-SIBs), institutions whose failure, by...

Persistent link: https://www.econbiz.de/10012856230

Models of financial stability and their application in stress tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2018

Persistent link: https://www.econbiz.de/10011871938

The Virtues and Vices of Equilibrium and the Future of Financial Economics

Farmer, J. Doyne; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2008

take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is … so, extolling the virtues of equilibrium theory; then we present a critique and describe why this approach is inherently … jury is still out, i.e., where so far they fail to provide a good description of the world, but where proper extensions …

Persistent link: https://www.econbiz.de/10004976721

How markets slowly digest changes in supply and demand

Bouchaud, Jean-Philippe; Farmer, J. Doyne; Lillo, Fabrizio - In: Handbook of financial markets : dynamics and evolution, (pp. 57-160). 2009

Persistent link: https://www.econbiz.de/10003820628

Hyperbolic discounting is rational: Valuing the far future with uncertain discount rates

Farmer, J. Doyne; Geanakoplos, John - 2009

Persistent link: https://www.econbiz.de/10003868957

Leverage causes fat tails and clustered volatility

Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John - 2010

Persistent link: https://www.econbiz.de/10003925360