seminar material


Day 1

BoF-PSS2 Simulator, Current Situation and Recent Developments
Simulator Team: Tatu Laine and Kasperi Korpinen, Bank of Finland

Systemic Risk and Macro Stress Testing: A Threshold Model for Fire Sales and Price-mediated Contagion
Eric Schaanning, Norges Bank

The European CCP ecosystem
Benedetta Bianchi, Trinity College Dublin

Credit Risk and Collateral Demand in a Retail Payment System
Gabriel Xerri, Bank of Canada

Modelling Danish Interbank Payments: An Autoregressive Approach
Simon Klit Harmat, DanmarksNationalbank

A Comparison of Three Models to Predict Liquidity Flows Between Banks Based on Daily Payment Transactions
Ron Triepels, De Nederlandsche Bank

Pairwise Trading in the Money Market during the European Sovereign Debt Crisis
Edoardo Rainone, Banca d'Italia

New Blocks for the Kids? On the Potential Role of Blockchain for Payment and Settlement Systems
Martin Diehl, Deutsche Bundesbank

Day 2

Size, Time and Delay; Melting Payment System Indicators in A Single Index
Luca Arciero, Banca d'Italia

Early-Warning Signals In Interbank Transactions: Evidence from Japan
Yuji Kawada, Bank of Japan

Stress-Testing Of Liquidity Risk in TARGET2
Alexander Müller, Deutsche Bundesbank

Do not be stressed overseer: we have stress indicators
Ronald Heijmans and Richard Heuver, De Nederlandsche Bank

Stress-Testing SPEI Policy Recommendations about The Mexican Payment System Simulating Distressed Liquidity Scenarios
Marco Nolivari, University of Essex

The Devil Is In The Details, But So Is Salvation - How To Measure The Money Market Using Different Algorithm Implementations
Jan Paulick, Deutsche Bundesbank

Liquidity and Counterparty Risks Tradeoff in Money Market Networks
Carlos León, Banco de la República

Supporting Crowd-Powered Science in Economics: FRACTI, a Conceptual Framework for Large-Scale Collaboration and Transparent Investigation in Financial Markets
Jorge M Faleiro Jr., University of Essex