Please note that the list below only shows forthcoming events, which may not include regular events that have not yet been entered for the forthcoming term. Please see the past events page for a list of all seminar series that the department has on offer.

 

Past events in this series


Thu, 22 May 2025
16:00
L5

Liquidity Competition Between Brokers and an Informed Trader

Ryan Donnelly
(King's College London)
Abstract

We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to the informed traders allows the brokers to speculate based on the flow information. They simultaneously attempt to minimize inventory risk and trading costs with the lit market based on the informed order flow, also known as the internalization-externalization strategy. We solve in closed form for the trading strategy that the informed trader uses with each broker and propose a system of equations which classify the equilibrium strategies of the brokers. By solving these equations numerically we may study the resulting strategies in equilibrium. Finally, we formulate a competitive game between brokers in order to determine the liquidity prices subject to precommitment supplied to the informed trader and provide a numerical example in which the resulting equilibrium is not Pareto efficient.

Thu, 29 May 2025
16:00
L5

Sovereign debt default and climate risk

Emilio Barucci
(Politecnico di Milano)
Abstract
We explore the interplay between sovereign debt default and climate risk. Pollution  (e.g., pollution from land use, natural resource exploitation) contributes to the likelihood of natural disasters and influences economic growth rates. The country can default on its debt at any time while also deciding whether to invest in pollution abatement. The framework provides insights into the credit spreads of sovereign bonds and explains the observed relationship between bond spread and country's climate vulnerability. Through calibration for developing and low-income countries, we show that there is limited incentive for these countries to address climate risk, and the sensitivity of bond spreads to climate vulnerability is limited. Climate risk does not play a relevant role on the decision to default on sovereign debt. Financial support for climate abatement expenditures can effectively foster climate adaptation actions, instead renegotiation conditional upon pollution abatement does not produce any effect. 


 

Thu, 12 Jun 2025
16:00
L5

TBC

Chaman Kumar
(Indian Institute of Technology)