Jón Þórðarson

Jón Þórðarson is a Senior Associate in the Optimal Policy and Applications Division at the Institute for Advanced Dynamic Uncertainty. He holds a PhD in Mathematics from Háskóli Íslands — the University of Iceland (Faculty of Physical Sciences), where his doctoral research constructed rigorous probabilistic models of financial contagion in networks of heterogeneous institutions. His thesis developed a class of interacting particle systems on random graphs to capture cascade dynamics in interbank lending markets, establishing sharp phase-transition thresholds for systemic collapse as a function of network connectivity and balance-sheet structure.

Þórðarson's research draws on martingale theory, the theory of measure-valued processes, and mean field limits to study how individual institution-level risk aggregates into systemic fragility. His interest in this area was shaped in part by direct experience of the 2008 Icelandic banking crisis — an event whose severity and speed made it one of the most concentrated laboratory settings for systemic failure in modern financial history. He has since worked on risk measures that are sensitive to the topology of the financial network, on stochastic early-warning indicators derived from spectral properties of the interbank adjacency matrix, and on optimal macro-prudential intervention modelled as a stopping problem under incomplete information.

At IADU, his research sits at the intersection of stochastic analysis and regulatory policy: he develops HJB frameworks for a central regulator facing a continuum of strategically interacting banks, studies the mean field game limit of macro-prudential capital requirements, and analyses the ergodic structure of network-driven contagion processes over long time horizons.