In modern financial systems, risks rarely remain confined to a single institution. When banks are interconnected through mutual financial obligations and are jointly exposed to external asset fluctuations, a seemingly localized shock can quickly propagate into cascades of defaults, leading to losses far beyond the initial point of impact.
What determines how much shock a financial network can absorb? And when risks spread, how severe can the worst-case losses become?
The seminar “Default Robustness and Worst-Case Losses in Financial Networks” is designed as an in-depth session on how financial shocks propagate through banking systems, how equilibrium states are established after a crisis, and how system-wide losses can be quantified using modern analytical tools. Participants will gain insights into two key concepts in financial stability research: the default resilience margin and the onset of insolvency with respect to external obligations.
Another highlight of the seminar is the construction of the worst-case loss curve, which illustrates how the maximum system losses evolve as the magnitude of shocks increases. This is not only a theoretical problem in quantitative finance but also provides important insights for assessing systemic risk in increasingly complex and interconnected financial networks.
The seminar will be delivered by Prof. Giuseppe C. Calafiore, Full Professor at the Department of Electronics and Telecommunications, Politecnico di Torino (Italy). He is a Fellow of IEEE, AAIA, and AIIA, and a member of the European Academy of Sciences. He is widely recognized for his pioneering contributions to probabilistic and scenario-based methods for robust optimization and control. He has held visiting positions at the University of California, Berkeley and VinUniversity, and is the author or co-author of approximately 240 scientific publications and several books, including Financial Data Science, published by Cambridge University Press in 2026.
This seminar is particularly suitable for those interested in financial mathematics, data science, optimization, networked systems, and systemic risk, as well as anyone looking to explore a topic with strong academic depth and direct relevance to the increasingly complex and unpredictable nature of modern financial systems.
Due to limited capacity, the seminar is restricted to a maximum of 20 participants. Early registration is highly recommended.
