Prof. Dr. Stefan Thurner: Anatomija finančne krize

Spoštovani!
Vabim vas na 4. predavanje iz sklopa "Kolokviji na IJS" v letu 2009/10, ki bo v sredo, 11. novembra 2009, ob 13. uri v Veliki predavalnici Instituta »Jožef Stefan« na Jamovi cesti 39 v Ljubljani. Napovednik predavanja najdete tudi na naslovu http://www.ijs.si/ijsw/Koledar_prireditev, posnetke preteklih predavanj pa na http://videolectures.net/kolokviji_ijs.

Prof. Dr. Stefan Thurner

Complex Systems Research Group, Medical University of Vienna, Wahringer Gurtel 18-20, A 1090 Vienna, Austriain
Santa Fe Institute, Santa Fe, New Mexico, USA


Anatomija finančne krize

Glavnina sedanje finančne krize izvira iz vsakodnevne prakse finančnih institucij, da investirajo velike vsote izposojenega denarja. Zavarovanja za ta sredstva so navadno v obliki finančnih sredstev, ki še zdaleč nimajo neke "trdne" vrednosti. Odvisnost vrednosti zavarovanja od cene finančnih sredstev so jedro kreditne krize. Na preprostem modelu agenta, smo preučevali "ekologijo" finančnih akterjev, kot so neinformirani kupci, dobro obveščeni skladi, banke in vlagatelji v zavarovane sklade. Predstavljeni model omogoča prepoznavanje učinkov finančnih vzvodov na stabilnost finančnega sistema. Sedaj lahko razumemo, kako manjše naključne fluktuacije lahko sprožijo finančno krizo, ki sčasoma vodi do razpada celotnega sistema. Glavno sporočilo tega predavanja je, da se lahko novi načini pri spremljanju izbranih finančnih kazalnikov uporabijo za napovedovanje verjetnosti za razvoj krize in zloma trgov.


Predavanje bo v angleškem jeziku.

Lepo vabljeni!


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We would like to invite you to 4th lecture of the "Kolokvij na IJS" in the school year 2009/10. The lecture will be held on Wednesday, November 11, 2009, at 1 pm at JSI main lecture hall, Jamova 39, Ljubljana. The abstract of the lecture can be found on website: http://www.ijs.si/ijsw/Koledar_prireditev, the previous recorded lectures can be found on website: http://videolectures.net/kolokviji_ijs.


Prof. Dr. Stefan Thurner,

Complex Systems Research Group, Medical University of Vienna, Austria and
Santa Fe Institute, Santa Fe, New Mexico, USA


Anatomy of financial crisis

Much of the recent financial crisis originates from the common practice of financial firms of making investments with large sums of borrowed money (leverage). The collateral for these borrowed funds is usually put up in the form of financial assets, which are far from being ’solid’ values. The dependence of the value of collateral on asset prices is often the heart of a credit crisis. In a simple agent based model we study an ’ecology’ of financial players such as un-informed noise traders, informed funds, banks, and investors to hedge funds.  This model economy allows to identify the effects of leverage on the stability of the financial system. It becomes possible to understand how minor random fluctuations can trigger a financial crisis, eventually leading to the collapse of the entire system. The main message is that novel means of monitoring of a specific collection of financial indicators could be used to foresee the likelihood for the development of crisis and meltdown.


We look forward to meeting you at the “Kolokvij na IJS”!