Centre for financial frictions (FRIC)

Abstract:

FRIC’s key scientific objective is to contribute to the next generation of asset pricing models which incorporate deviations from neoclassical assumptions of frictionless markets. The center will focus on many different aspects of frictions, including how illiquidity, haircuts and collateral affect asset prices and derivatives pricing, how frictions arise because of asymmetric information, and the potential role of expert analysts, fund managers, and traders in contributing to herding and bubbles in financial markets. Ultimately, the ambition is to impact the way we regulate and design markets, the incentive structures and to improve our understanding and detection of systemic risk thus helping diminish the impact of the next financial crisis.