MARKETS IN TRANSITION

Scientific project

In recent years, financial market activity has been profoundly affected by the two crises (subprime and sovereign debt), with particular attention paid to counterparty risk, collateral risk, liquidity risk, etc. The credit derivatives market has also been greatly affected. Electronic markets and high-frequency trading have continued to grow, bringing with them crucial and unprecedented risk issues. Recent regulatory developments merely emphasize the urgent need for quantitative tools to better understand and manage these risks.

The Chair aims to provide appropriate responses to these new modelling and calculation challenges, in order to contribute to the restructuring of financial risk management in all its variety and complexity.

The “Markets in Transition” Chair brings together the Ecole Polytechnique Centre for Applied Mathematics and the Evry Laboratory of Mathematics and Modelling, around the following themes:

:

• Post-crisis markets: Counterparty risk, funding, collateral and liquidity (incomplete and market asymmetries, global risk modelling, numerical simulation)
• High frequency trading: risk and regulation (effect of high frequency trading on financial market stability, regulation)

Reports: 

2015 > Rapport d’activités Chaire Marchés en Mutation X-Evry 2015

2014 > Rapport d’activités Chaire Marchés en Mutation X-Evry 2014

Publications: 

2015 > Liste de publications Chaire Marchés en Mutation X-Evry 2015

2014 > Liste de publications Chaire Marchés en Mutation X-Evry 2014