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Recent waves of financial instability have sparked an interest in analytics for systemic risk measurement. This fifth 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 23–24 May 2019 at the Bank of Finland premises in Helsinki. The conference includes keynotes and presentations. 

Target group

We welcome academics and experts of the conference topics to participate in the conference. Participation requires pre-registration. More information: fs.events[at]bof.fi.



Conference day 1, Thursday 23 May

Conference Opening: Marja Nykänen (Deputy Governor, Bank of Finland)
Keynote: Bank resolution in practice - empiral evidence
Thorsten Beck (Professor of Banking and Finance, Cass Business School, London) Presentation

Session 1 - Shadow Banking & Market Microstructure

What Drives Repo Haircuts? Evidence from the UK market
Karamfil Todorov (London School of Economics and Political Sciences) Paper, Presentation
co-authors Christian Julliard, Kathy Yuan, Seyed E. Seyedan (LSE), Zijun Liu (Bank of England) 

Securitisation special purpose entities, bank sponsors and derivatives
Neill Killeen (Central Bank of Ireland) Paper, Presentation
co-author Pawel Fiedor (Central Bank of Ireland)

Session 2 - Modelling

ModelFlow, a Toolset to solve and manage models
Ib Hansen (European Central Bank) Paper, Presentation

Predicting Distresses using Deep Learning of Text Segments in Annual Reports
Rastin Matin (Danmarks Natinalbank)
co-authors Casper Hansen, Christian Hansen (University of Copenhagen), Pia Mølgaard (Danmarks Nationalbank)

Reverse Stress Testing
Eric Schaanning (ESRB Secretariat)
co-author Michel Baes (RiskLab, ETH Zurich, Department of Mathematics)

Keynote: Future AI is Creative
Risto Miikkulainen (Professor of Computer Science, University of Texas at Austin)

Session 3 - Macrofinancial linkages & growth at risk

Macroprudential policy spillovers and international banking – Taking the gravity approach
Anni Norring (Bank of Finland) Paper, Presentation

Managing GDP Tail Risk
Thibaut Duprey (Bank of Canada)
co-author Alexander Ueberfeldt (Bank of Canada)

Macroeconomic Overheating and Financial Vulnerability
Seung Jung Lee (Federal Reserve Board) Paper, Presentation
co-authors Elena Afanasyeva, Michele Modugno, Francisco Palomino (Federal Reserve Board)

It Takes More than Two to Tango: Understanding the Dynamics behind Multiple Bank Lending
Noam Michelson (Bank of Israel) Paper, Presentation
co-author Konstantin Kosenko (Bank of Israel)


Conference day 2, Friday 24 May

Session 4 - Derivatives

Simulating liquidity stress in the derivatives market
Marco Bardoscia (Bank of England)
co-authors Gerardo Ferrara, Nicholas Vause, Michael Yoganayagam (Bank of England)

Insurers' use of derivatives: too low?
Linda Fache Rousová (European Central Bank)
co-author Elisa Letizia (European Central Bank)

Interdependencies in central clearing in the EU derivatives markets
Sarah Lapschies (ESRB Secretariat)
co-authors Yanis El-Omari (ESMA), Pawel Fiedor (Central Bank of Ireland), Eric Schaanning (ESRB Secretariat), Moritz Seidel (Deutsche Bundesbank), Francesco Vacirca (European Central Bank)

Keynote: The impacts of structural economic changes on monetary and macroprudential policies
Olli Rehn (Governor, Bank of Finland)

Session 5 – Market microstructure

The October 2016 sterling flash crash
Joseph Noss (Financial Stability Board and Bank of England) Paper, Presentation
co-author: Lucas Pedace (Bank of England)

Market makers and primary dealers as liquidity providers in the sovereign CDS market
Francesca Daniela Lenoci (European Central Bank)
co-author: Lorenzo Cappiello, Christian Weistroffer (European Central Bank)

Session 6 - Detecting excessive credit growth

Modelling the credit gap: A stochastic volatility approach
Sofia Velasco (Central Bank of Ireland)
co-author Martin O'Brien (Central Bank of Ireland)

Mind the Basel Gap
Petri Jylhä (Aalto University School of Business)
co-author: Matthijs Lof (Aalto University School of Business)