17th Seminar 2019

29–30 August 2019

Bank of Finland, Helsinki

The Simulator Seminar themes cover new development, detecting anomalies and real-time monitoring of FMIs as well as preparing for future challenges such as big data analysis or machine learning technology of FMIs. Smooth and reliable financial market infrastructures, like payment and securities settlement systems, play a crucial role for the well-functioning economy. In the evolving financial landscape, quantitative analysis of the FMIs remains an important method to deepen our understanding of on-going developments, potential risks and efficiency gains.

The seminar is targeted for overseers, operators, supervisors as well as market participants.

Contributions

Programme (pdf)

DAY 1, THURSDAY 29 August 2019

Opening remarks
Tuomas Välimäki, Member of the Board, Bank of Finland (speech)

Keynote: Modernizing Payments Research: Using Machine Learning and Panel Methods to Help Design Wholesale Payments
James Chapman, Bank of Canada (presentation)

Joint Determination of Counterparty and Liquidity Risk in Payment Systems
Jorge Cruz Lopez, FNA and University of Western Ontario
Discussant: Marios Gravanis, European Central Bank

Unsupervised Anomaly Detection for Payment Systems at Transaction Level
Eduard Betz and Ioana Duca-Radu, European Central Bank (presentation)
Discussant: Anneke Kosse, Bank of Canada
Assessing Financial Market Infrastructures with Neural Networks: An Application to the Canadian Automated Clearing and Settlement System (ACSS)
Leonard Sabetti, Payments Canada (presentation)
Discussant: Timothy Aerts, De Nederlandsche Bank

Stable, Changing or Fragile? Assessing the Stability of Payment Profiles
Marc Glowka and Alexander Müller, Deutsche Bundesbank (presentation)
Discussant: Thomas Nilsson, Danmarks Nationalbank

What Kind of Payments Settle in a Real Time Gross Settlement System? The Case of Norges Bank’s Settlement System (NBO)
Lyndsie Smith and Mats-Bay Fevolden, Norges Bank (presentation)
Discussant: Jan Paulick, Deutsche Bundesbank

An Economic Perspective on Payment Migration
Anneke Kosse and Zhentong Lu, Bank of Canada 
Discussant: Alessandro Pioli, European Central Bank

Payment Choice Using Big Data: New York Taxis
Krzysztof Wozniak, Federal Reserve Board (presentation)
Discussant: Alistair Milne, Loughborough University

DAY 2, FRIDAY 30 August 2019

SORBNET2 Stress-Testing and Oversight
Mateusz Dzicher, Narodowy Bank Polski (presentation)
Discussant: Sara Testi, European Central Bank

Monitoring Intraday Liquidity Risk in High-Value Payment Systems
Fuchun Li, Payments Canada
Discussant: Darren Chamberlain, South African Reserve Bank

Detecting Community Critical Participants in Payment Networks: an Application to TARGET2
Francesco Vacirca, European Central Bank (presentation)
Discussant: Krzysztof Wozniak, Federal Reserve Board

Interconnectedness in the Global Clearing Network
Kimmo Soramäki, FNA (presentation)
Discussant: Pablo Rovira Kaltwasser, National Bank of Belgium

Descriptive Analysis of the Client Clearing Network in the OTC Derivatives Market in the Euro Area
Argyris Kahros, European Central Bank (presentation)
Discussant: Hanna Westman, Financial Stability Authority

Payment system simulation to support LSM design
Andrei Pustelnikov, Bank of England
Discussant: Matti Hellqvist, Bank of Finland

Settlement liquidity in SIC
Flurina Strasser, Swiss National Bank (presentation)
Discussant: Marc Glowka, Deutsche Bundesbank

Discussion and remarks
Seminar closing