Recent waves of financial instability have sparked an acute interest in analytics for systemic risk measurement. This fourth annual conference brings together most recent advances on computational tools for systemic risk identification and assessment. The scope of models and techniques includes systemic risk and early-warning indicators, network and contagion analysis, macro stress-testing, as well as measures of coinciding systemic stress and systemically important financial institutions. The aim of the conference is to also adopt methods and techniques from other disciplines, such as computer science, engineering, biology and physics, that use computer-intensive approaches, novel data sources, visual representations or interactive interfaces, among others.
Topics and programme
The themes of the conference cover policy and practitioner-oriented research related to systemic risk measurement. We solicit contributions covering a broad range of techniques related to systemic risk analytics, particularly related to (but not limited to) the following themes:
- Using systemic risk analytics to support macroprudential policy and regulation
- Analysing emerging risks from interconnectedness of the financial system
- Use of big data and artificial intelligence for systemic risk analytics
- Identifying risks from market based finance
- Risks and opportunities stemming from disruptive innovations in financial technology (FinTech)
The conference will take place on 29-30 May 2018 at the Bank of Finland premises in Helsinki. The conference includes keynotes, presentations and poster sessions, as well as a pre-conference workshop on 28 May.
Target group
We welcome academics and experts of the conference topics to participate in the conference. Participation requires pre-registration, for more information please contact: RMsihteerit(at)bof.fi.
Programme
Workshop, Monday 28 May 2018
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Opening remarks: Katja Taipalus (Head of Financial Stability and Statistics, Bank of Finland) |
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Workshop - Session 1 Lending standards and output growth LTV Limit and Borrower Risk Investment strategies of euro area insurers and pension funds: Pro- or counter-cyclical? |
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FSB work on vulnerabilities assessment |
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Cleveland Fed Systemic Risk Indicator |
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Workshop - Session 2 Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures Identification and assessment of systemic risks in financial networks: Modelling fire sales from regulatory cliff effects |
Conference Day 1, Tuesday 29 May
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Conference Opening: Marja Nykänen (Member of the Board, Bank of Finland) Keynote: How regulation and macroprudential policies should respond to changes in the financial landscape? |
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Session 1 - Derivative markets, CCPs and post-trade operations Cleaninghouse-Five: Determinants of voluntary clearing in European derivatives markets The Demand for Central Clearing: To Clear or Not to Clear, That is the Question Multiplex network analysis of the UK OTC derivatives market A Macroprudential View on Portfolio Compression |
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Keynote: Post-Crisis Bank Regulations and Financial Market Liquidity |
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Session 2 - Fire sales, liquidity and systemic risk Do interbank markets price systemic risk? Taking regulation seriously: Fire sales under solvency and liquidity constraints Can Swing Pricing Prevent Mutual Fund Runs and Failures? Monitoring Indirect Contagion |
Conference Day 2, Wednesday 30 May
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Session 3 - Market and funding liquidity Illiquidity Spirals in Coupled Over-the-Counter Markets Fire-sale channels, portfolio overlap networks and the credit spread puzzle Agent-based model of system-wide implications of funding risk |
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Poster Session Fragility and Inefficient Fire Sales in Decentralized Asset Markets Multilayer Aggregation with Statistical Validation: Application to Investor Networks An Anatomy of the euro area Interest Rate Swap Market |
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Session 4 - Stress testing Modeling your stress away Reconstructing and Stress Testing Credit Networks |
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Keynote: Fintech, Blockchain and Crypto Assets |
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Session 5 - CDS market and systemic risk Crises in the modern financial ecosystem Disastrous Defaults |