Section: New Results

Systemic Risk

We extend the model in [51] in two major ways: First, study the optimal intervention strategy by a lender of last resort that would minimize the size of contagion under budget constraints. Second, allow our model not to be constrained to a single type of financial distress and model jointly insolvency and illiquidity. The interplay of these two mechanisms yields a more potent type of contagion than just the mechanical balance-sheet insolvency type of contagion [85] , [92] . In [35] , we have started to tackle these issues. This study can be enriched in many different manners.

Benjamin Jourdain and Agnès Sulem have organized a CEA-EDF-Inria school (70 participants) on the issues of Systemic risk and quantitative risk management in October 15-17 2012. (http://bit.ly/finance_inria ). A special issue on "Systemic Risk" of the journal Statistics and Risk Modeling with B. Jourdain and A. Sulem as guest editors will be published in 2013.