On Mathematical Models of Systemic Risk(Survey,<Special Topics>Activity Group "Mathematical Finance")

Abstract

Due to recent repeated financial crises, discussions on systemic risk have been activated from both theoretical and practical aspects. Practical policies for preventing worldwide bankruptcy of financial system are examined by regulators and financial institutes, and theoretical studies are also rapidly progressing. In this paper, we review research topics on systemic risk, especially focus on mathematical and theoretical studies. In addition, we give some comments on future prospects of systemic risk management.