The seminar will be held in the Visitor Centre at 3:15 pm.
Casper G. de Vries (Erasmus School of Economics, Holland)
Abstract
In this talk I will discuss the economics of the credit crunch with particular emphasis on systemic risk and the implications for supervision. The interdependencies in the banking system together with the fat tail nature of the risks, make that the systemic risk is strong. If , per contrast, the marginal risk distributions were just normal, the interdependency would wither away at the highest loss levels. But I show and argue why the systemic risk in the banking sector remains, even in the limit. An index to capture the amount of fragility inherent to a particular banking system is advanced.