Do-Form: Invited Hands-On Tutorial Sessions
World-class economists will offer dedicated hands-on tutorial sessions (schedule) on the following topics to ensure close interaction among participants from both
sides, domain experts and formalisers:
Matching – Auctions – Finance
Theory and Practice of Matching Markets (M. Utku Ünver)
Short Bio: M. Utku Ünver is a Professor of Economics at Boston College. He received his PhD in 2000 from the University of Pittsburgh. His main interest is the theory and practice of matching market design. He has co-authored the pioneering papers on the design of kidney exchanges and was a co-founder of the New England Program for Kidney Exchange. He has also extensively worked on the theory of matching market mechanisms. He is the President of the Society for Economic Design. (Personal website)
Summary: This tutorial session will introduce the models and main results in the theory of the two-sided matching and allocation of indivisible goods without monetary transfers subject to agents' preferences. Practical applications on school choice and kidney exchange will be discussed. Matching mechanisms in practice and theory will be discussed. Open areas of research will also be briefed.
Technical brief: matching mechanisms mostly rely on recursive algorithms with elegant discrete math structures. Similarly, the main techniques used in proofs and reasoning heavily rely on discrete math, for example combinatorial optimization, and graph theory. Some techniques are similar to the ones employed in social choice theory (e.g. the proof of the Gibbard-Satterthwaite Theorem). Impossibility results exist in many subdomains that rely on finding rich counter examples. Also induction and recursion are the mainly used tools in proofs. Therefore, there could be room for using mechanised reasoning in matching theory.
A nice requisite reading is Tayfun Sönmez and M. Utku Unver “Matching, Allocation, and Exchange of Discrete Resources”, J. Benhabib, A. Bisin, and M. Jackson (eds.), Handbook of Social Economics, Vol. 1A. The Netherlands: North-Holland, (2011) 781–852 (working paper version).
Also there are several lecture slides of a graduate course Matching Market Design; this is an extended version of this session.
See the documentation for the 2012 Nobel Memorial Prize in Economic Sciences for more background information.
Auctions (Peter Cramton)
Short Bio: Peter Cramton is Professor of Economics at the University of Maryland. Since 1983, he has conducted research on auction theory and practice. This research appears in the leading economics journals. The main focus is the design of auctions for many related items. Applications include spectrum, energy, and financial auctions. On the practical side, he is Chairman of Market Design Inc., an economics consultancy founded in 1995, focusing on the design of auction and matching markets. Since 1993, he has advised 12 governments and 36 bidders in spectrum auctions. He is a co-inventor of the spectrum auction design used in Canada, Australia, and many European countries to auction 4G spectrum. Since 2001, he has played a lead role in the design and implementation of electricity and gas auctions in North America, South America, and Europe. He has advised on the design of carbon auctions in Europe, Australia, and the United Sates, including conducting the world’s first greenhouse-gas auction held in the UK in 2002. He has led the development of innovative auctions in new applications, such as auctions for airport slots, wind rights, diamonds, medical equipment, and Internet top-level domains. He received his B.S. in Engineering from Cornell University in 1980 and his Ph.D. in Business from Stanford University in 1984.
Summary: Peter has been working on Ofcom UK (4G spectrum auction), the UK Department of the Environment and Climate Change, and others. The main case studied in this tutorial will be given by the “applicant auctions” he has designed for auctioning the new top-level internet domains issued by the ICANN.
Finance (Neels Vosloo)
Short Bio: Neels Vosloo joined the Financial Services Authority (UK) as part of its expansion of supervisory and regulatory capabilities following the credit crunch. During the credit crunch itself, Neels helped manage HSBC's market risk, working on their 'value at risk' models - the mainstay of modern banks' market risk management.
Summary: Prudential regulation of financial institutions, in particular those that are large and complex, relies heavily on quantitative models implemented internally by these institutions, and supervised by regulators. Regulators do not have the resources to exhaustively review and validate these models or their implementation, and also need to consider cross-firm (systemic) aspects: these limitations are mainly dealt with by working with firms' internal risk management, control, and model validation functions, and increasingly also through industry-wide benchmarking exercises.
The presentation will give an overview of the use of quantitative models for pricing, risk measurement and management, and capital (economic and regulatory) with reference to the traded market and credit risk of investment banks and the investment banking and markets divisions of large financial groups. It will show some potential issues with these models from a regulatory perspective, the current approach to approving and supervising models for calculating regulatory capital requirements, and likely future developments in regulation that should lead to more regular use of hypothetical portfolios.
Finally, the presentation will look in more detail at the use of hypothetical portfolios to test components (data, risk factor modelling, pricing, calibration) of capital models for traded risk. We will use the example of a credit trading portfolio to illustrate potential problems, and show how hypothetical portfolios can be used to identify these problems. The example will also illustrate the difficulties with constructing efficient test portfolios, and show how mechanised reasoning might provide regulators with tools or methods to improve and streamline their current approaches.
This page was last modified on 10 April 2013.