Even after a decade of stabile economic environment we are ever more concerned about consistent financial instability. Also the fast development of AI methods in Finance will pose new challenges and opportunities in our economic climate. This conference on systemic risk analytics brings together most recent advances on computational tools for systemic risk identification and assessment as well as future opportunities and threats of Big Data and AI. Also the link between climate threats and economic policies need to be investigated. The scope of models and techniques includes systemic risk and early-warning indicators, network and contagion analysis, macro stress-testing, optimial timing of macro-prudential counter-measures 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
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)
- Optimal timing of Macro-prudential counter-measures
- Economic policies and the climate change
Programme and Venue
The conference will take place on 1-2 July 2021 and the event is held virtually. The conference includes both keynotes and presentations. The programme time is in (GMT+3) EEST Eastern European Summer time.
Target group
We welcome academics and experts of the conference topics to participate in the conference.
PROGRAMME
Conference Day 1 |
| Conference Opening: Marja Nykänen (Deputy Governor, Bank of Finland) Speech |
| Keynote: Climate-related risk and financial stability, Paul Hiebert (Head of Systemic Risk Division, ECB) Presentation |
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Session 1 - Interbank markets How does the repo market behave under stress? Evidence from the COVID-19 crisis The Interbank Market Puzzle |
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Keynote: Lessons of the covid-19 crisis for financial sector policies, Olli Rehn (Governor, Bank of Finland) |
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Session 2 - Non-banks and financial markets Synthetic Leverage and Fund Risk-Taking Intermediation Networks and Market Liquidity: Evidence from CDS Markets |
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Session 3 - Financial crises A Macro-Finance model with Realistic Crisis Dynamics Credit Allocation and Macroeconomic Fluctuations |
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Session 4 - Financial crises II Fire Sale Risk and Credit Identifying Financial Crises Using Machine Learning on Textual Data |
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Conference day 2 |
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Session 5 - Lessons from the COVID-19 pandemic Why did bank stocks crash during COVID-19? Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis |
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Session 6 - Financial networks Temporal networks in the analysis of financial contagion Regulating Financial Networks: A Flying Blind Problem |
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Session 7 - Financial regulation and policy How Do Systemically Importat Banks Lower Capital Surcharges? Stress Testing and Calibration of Macroprudential Policy Tools |
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Session 8 - Climate risks and crypto currencies Corporate Climate Risk: Measurements and Responses Miner Collusion and the BitCoin Protocol |
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Keynote: Measuring and Managing Climate Financial Risk |
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Closing remarks |
Poster session |
| Efficiency of centralized clearing under liquidity stress Marco Bardoscia (Bank of England) Poster |
| Bank Capital Requirements and Asset Prices: Evidence from the Swiss Real Estate Market Olga Briukhova (University of Zurich, Swiss Finance Institute) Poster |
| Information and liquidity linkages in ETFs and underlying markets Petros Katsoulis (The Business School) Paper, Poster |
| Global Banks and Systemic Risk: The Dark Side of Country Financial Connectedness Atanas Mihov (University of Kansas) Paper, Poster |
| Modelling Fire Sale Contagion across Banks and Non-Banks Amanah Ramadiah (Financial Network Analytics Ltd) Paper, Poster |
| Risk-mitigating effects of being prompt and transparent Viktors Stebunovs (Board of Governors of the Federal Reserve System) Paper, Poster |
| The low-carbon transition, climate disclosure and firm credit risk Katia Vozian (European Central Bank), Sante Carbone (European Central Bank) Poster |