19. Mai 2014

International workshop on

Systemic risk and regulatory market risk measures

at Parmenides Foundation

2-­3 June, 2014


The a propos of the workshop is the argument that has flared up recently in academic circles around Expected Shortfall, advocated by the Basel Committee as the new global market risk measure. The argument is centered around the conflicting criteria concerning risk measures, and the inevitable tension arising from the impossible task of reducing the huge amount of information, values and interests in a bank’s position to a single number. Participants will discuss the various aspects of market risk, including the regulatory considerations behind the planned change. In addition to pondering the relative merits and shortcomings of the different risk measures, the wider context of systemic risk will also be considered.

The workshop is supported by the Institute for New Economic Thinking, grant ID: INO1200019.


  • Carlo Acerbi (Geneva): Testing expected shortfall
  • Stefano Battiston (Zurich): Measuring systemic risk in financial networks: Progress and challenges.
  • Fabio Bellini (Milan): Some remarks on elicitable risk measures, generalized quantiles and expectiles
  • Sean Cleary (Cape Town): What Are We Trying to Do? Framework Considerations on Systemic Financial Risk
  • Tilmann Gneiting (Heidelberg): From risk measures to predictive distributions
  • Alan Kirman (Aix-en-Provence): Financial networks, the emergence of rules and consequent market crashes
  • Imre Kondor (Pullach): Risk measures: the estimation error problem
  • Matteo Marsili (Trieste): Barcoding finance
  • Ole Peters (London): Risk management from a time perspective
  • Nikola Tarashev (Basel): ES vs. VaR: evidence from bank P&L estimates
  • István Varga-Haszonits (Budapest): Analysing the axioms for risk measures
  • Further participants: Fabio Caccioli (Cambridge), Gábor Papp (Budapest), Niina Zuber (Munich), Ralf Frank (Frankfurt) and Carsten Freitäger (Munich)

Participation in the workshop is by invitation only. Attendance without registration is not possible. Please contact us for further information.


Announcement of Workshop June 2 & 3, 2014_Page_2

Agenda Workshop June 2&3, 2014

Announcement of Workshop June 2 & 3, 2014_Page_1

Agenda Workshop June 2&3, 2014