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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

Session 1 - Interbank markets

How does the repo market behave under stress? Evidence from the COVID-19 crisis
Anne-Caroline Huser (Bank of England), co-authors: Caterina Lepore (IMF), Luitgard Veraart (LSE)

The Interbank Market Puzzle
Xian Gu (Durham University Business School) Paper, Presentation                                                 co-authors: Franklin Allen, Imperial College London; Giovanni Covi (Bank of England), Oskar Kowalewski (IESEG School of Management), Mattia Montagna (European Central Bank)

Keynote: Lessons of the covid-19 crisis for financial sector policies, Olli Rehn (Governor, Bank of Finland)

Session 2 - Non-banks and financial markets

Synthetic Leverage and Fund Risk-Taking
Daniel Fricke (Deutsche Bundesbank) Paper

Intermediation Networks and Market Liquidity: Evidence from CDS Markets
Stathis Tompaidis (University of Texas at Austin), co-author: Mark Paddrik (Office of Financial Research) Paper

Session 3 - Financial crises

A Macro-Finance model with Realistic Crisis Dynamics
Goutham Gopalakrishna (Ecole Polytechnique Federale de Lausanne) Paper, Presentation

Credit Allocation and Macroeconomic Fluctuations
Karsten Müller (Princeton University), co-author: Emil Verner, (MIT Sloan) Paper, Presentation

Session 4 - Financial crises II

Fire Sale Risk and Credit
Francesco Mazzola (Erasmus University Rotterdam), co-authors: Dion Bongaerts (Erasmus University), Wolf Wagner (Erasmus University & CEPR) Paper

Identifying Financial Crises Using Machine Learning on Textual Data
Seung Jung Lee (Federal Reserve Board), co-authors: Mary Chen (Federal Reserve Board), Matthew Deininger (Federal Reserve Board), Martin Sicilian (Stanford University) Paper, Presentation

Conference day 2

Session 5 - Lessons from the COVID-19 pandemic

Why did bank stocks crash during COVID-19?
Sascha Steffen (Frankfurt School gGmbH), co-authors: Viral Acharya (NYU), Robert Engle (NYU) Paper, Presentation

Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis
Phillip Monin (Federal Reserve Board of Governors), co authors: Sumudu Watugala (Cornell University), Lubomir Petrasek (Federal Reserve Board of Governors), Mathias Kruttli (Federal Reserve Board of Governors) Paper, Presentation

Session 6 - Financial networks

Temporal networks in the analysis of financial contagion
Angelos Vouldis (European Central Bank), co-authors: Luca Nocciola (European Central Bank), Fabio Franch (European Central Bank) Presentation

Regulating Financial Networks: A Flying Blind Problem
Carlos Ramirez (Federal Reserve Board) Paper, Presentation

Session 7 - Financial regulation and policy

How Do Systemically Importat Banks Lower Capital Surcharges?
Marcelo Rezende (Federal Reserve Board), co-authors: Jared Berry (affiliation not reported)
Akber Khan (Federal Reserve Board) Paper, Presentation

Stress Testing and Calibration of Macroprudential Policy Tools
Laura Valderrama (International Monetary Fund), co-author: Lucyna Gornicka (International Monetary Fund) Paper, Presentation

Session 8 - Climate risks and crypto currencies

Corporate Climate Risk: Measurements and Responses
Vincent Yao, AREA Professor of Real Estate at Georgia State University, co-authors: Hongyu Shan (Fordham University), Qing Li, University of Florida Yuehua Tang, University of Florida Paper, Presentation

Miner Collusion and the BitCoin Protocol
Alfred Lehar (University of Calgary), co-author: Christine Parlour (UC Berkeley) Paper, Presentation

Keynote: Measuring and Managing Climate Financial Risk
Ron Dembo (Founder and CEO, Riskthinking.ai)

Closing remarks

Programme for SRA2021 (pdf.)

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