In the aftermath of the global financial crisis, there is an acute interest in analytics for early identification and assessment of systemic risk and vulnerabilities that may eventually lead to systemic financial crisis. This conference brings together most recent advances on computational tools for systemic risk identification and assessment. The key aim of the conference is to adopt methods and techniques from other disciplines, such as computer science, biology and physics, that use computer-intensive approaches, novel data sources, visual representations or interactive interfaces, among others.
Topics
The conference covers policy and practitioner-oriented research related to systemic risk measurement, including interdisciplinary empirical and theoretical work on system-wide macro-financial risks. We solicit contributions covering a broad range of topics related to systemic risk analytics and macroprudential policy, particularly (but not limited to):
- Systemic risk and early-warning indicators and models
- Network analysis, contagion models and spillover models
- Macro stress-testing, scenario analysis and simulation
- Coinciding systemic financial stress measures
- Measures of systemically important financial institutions
- Visualization of systemic risk related data and models
- Uncertainty in systemic risk modeling and measurement
- Data innovations, challenges, gaps and quality
- Mapping analytics to macroprudential policy and regulation
Special issues
In line with the interdisciplinary focus of the conference, we have post-conference special issues in one finance and one machine learning journal. Presenters are encouraged to submit their papers to special issues in Quantitative Finance and Neurocomputing.
Wednesday 23 September 2015
Pre-conference workshop
| 13:00–13.30 | Registration & coffee |
| 13:30–13:35 |
Opening remarks Kaj-Mikael Björk (Head of Department of Business Management and Analytics, Arcada University of Applied Sciences)
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| 13:35–16:00 |
Pre-conference workshop – session 1
Chair: Peter Sarlin (Hanken School of Economics, RiskLab Finland)
CrisisModeler: a tool for exploring crisis predictions
Markus Holopainen & Peter Sarlin
Paper (PDF, 191 KB)
Presentation (PDF, 150 KB)
Early warning indicators for banking crises: a conditional moments approach
Stijn Ferrari & Mara Pirovano
Paper (PDF, 167 KB)
Presentation (PDF, 778 KB)
Early warning for financial stress events: a credit-regime switching approach
Fuchun Li & Hong Xiao
Presentation (PDF, 1.62 MB)
Assessing capital-based macroprudential policy using an integrated early warning GVAR model
Markus Behn, Marco Gross & Tuomas Peltonen
Presentation (PDF, 1.63 MB)
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| 16:00–16:30 |
Refreshments
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| 16:30–18:30 |
Pre-conference workshop – session 2
Chair: József Mezei (Åbo Akademi University, RiskLab Finland, Arcada University of Applied Sciences)
Cross border losses in the European banking sector
Michela Rancan, Andrea Pagano & Marco Petracco Giudici
Strategic complementarity in banks’ funding liquidity choices and financial stability
André Silva
Presentation (PDF, 1 MB)
Systemic risk and competition: the bright side of bank concentration
Consuelo Silva-Buston
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Thursday 24 September 2015
Day 1
| 8.00–9:00 | Registration & coffee |
| 9:00–9:05 |
Conference opening
Seppo Honkapohja (Member of the Board, Bank of Finland)
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| 9:05–10:00 | Keynote: Systemic risk research and macroprudential policy making: Where do we stand? Philipp Hartmann (Deputy Director General Research, European Central Bank) |
| 10:00–12:00 |
Session 1 – Systemic risk measurement
Chair: Karlo Kauko (Bank of Finland)
The information in systemic risk rankings
Federico Nucera, Bernd Schwaab, Siem Jan Koopman & André Lucas
Paper (PDF, 279 KB)
Systemic risk and bank business models
Maarten R.C. van Oordt & Chen Zhou
Paper (PDF, 558 KB)
Pitfalls in the use of systemic risk measures
Gunter Löffler & Peter Raupach
Paper (PDF, 1 MB)
Presentation (PDF, 217 KB)
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| 12:00–13:30 |
Lunch
Poster session 1 – Systemic risk, prediction and policies
RiskRank: Measuring inteconnected risk
Jozsef Mezei & Peter Sarlin
Poster (PDF, 1.31 MB)
Mapping heat in the U.S. Financial system
David Aikman, Michael Kiley, Seung Jung Lee, Michael Palumbo & Missaka Warusawitharana
An empirical analysis of network reconstruction methods using UK CDS networks
William Abel & Laura Silvestri
Poster (PDF, 906 KB)
Estimating network contagion with limited data
Christoph Siebenbrunner, Michael Sigmund & Stefan Kerbl
Poster (PDF, 112 KB)
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| 13:30–14:00 |
Keynote: The role of analysis in macroprudential policy
Erkki Liikanen (Governor, Bank of Finland)
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| 14:00–16:00 |
Session 2 – Contagion and interbank markets
Chair: Jouko Vilmunen (Bank of Finland)
Passing the hot potato: how does credit risk flow in the CDS market?
Stefano Battiston, Marco D'Errico, Tuomas Peltonen & Martin Scheicher
Interconnectedness as a source of uncertainty in systemic risk
Tarik Roukny, Stefano Battiston & Joseph E. Stiglitz
Presentation (PDF, 282 KB)
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Monica Billio, Massimiliano Caporin, Roberto Panzica & Loriana Pelizzon
Presentation (PDF, 2.24 MB)
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| 16:00–16:30 |
Refreshments
Poster session 2 – Shadow banking, financial markets and financial market infrastructure
Monitoring systemic risk in the hedge funds sector
Frank Hespeler & Giuseppe Loiacono
The information contained in money market interactions: unsecured vs. collateralized lending
Alejandro Bernales & Mario di Filippo
Modeling sovereign risk with correlated stochastic processes
Paolo Giudici & Laura Parisi
Paper (PDF, 1.28 KB)
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| 16:30–17:45 |
Session 3 – Big data
Chair: Kaj-Mikael Björk (Arcada university of Applied Sciences)
News and narratives in financial systems: exploiting big data for systemic risk assessment Rickard Nyman, David Gregory, Sujit Kapadia, Paul Ormerod, David Tuckett & Robert Smith Paper (PDF, 2.81 MB)
Presentation (PDF, 3.06 MB)
Detect & Describe: deep learning of bank stress in the news Samuel Rönnqvist & Peter SarlinPaper (PDF, 266 KB)
Presentation (PDF, 332 KB)
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Friday 25 September 2015
Day 2
| 8.00–9:00 | Registration & coffee |
| 9:00–10:00 |
Keynote: On the nature of financial risk: Why risk is so hard to measure and why (systemic) risk models fail so often Jon Danielsson (Associate Professor of Finance, Director of the Systemic Risk Centre of the London School of Economics and Political Science)
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| 10:00–12:00 |
Session 4 – Liquidity
Chair: Jouni Timonen (Bank of Finland) Payment delays and contagion
Ben Craig, Dilyara Salakhova & Martin Saldias
Liquidity hoarding, network externalities, and interbank market collapse
Prasanna Gai & Sujit Kapadia
Liquidity hoarding in the interbank market: Evidence from Mexican interbank overnight loan and repo transactions
Marco van der Leij, Serafin Martinez-Jaramillo, Jose Luis Molina-Borboa & Fabrizio Lopez-Gallo
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| 12:00–13:30 |
Lunch
Poster session 3 – Systemic risk, competition and contagion
Measuring the Unmeasurable: An application of uncertainty quantification to financial portfolios
Jingnan Chen, Mark D. Flood & Richard B. Sowers
Is there a competition-stability trade-off in European banking?
Aurélien Leroy & Yannick Lucotte
Pandemic in financial systems and liquidity emergency
Julien Idier & Thibaut Piquard
Default events and evolution of CDS market structure
Halaj Grzegorz, Tuomas Peltonen & Martin Scheicher
When unity makes strength: a systemic risk index
Patrik Kouontchou, Alejandro Modesto & Bertrand Maillet
Paper (PDF, 502 KB)
Presentation (PDF, 516 KB)
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| 13:30–14:30 |
Keynote: The price of complexity in financial markets Stefano Battiston (Professor of Banking, University of Zurich)
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| 14:30–16:00 | Session 5 – Interconnectedness and networks
Chair: Kimmo Virolainen (Bank of Finland)
The missing links: a global study on uncovering financial network structure from partial data K. Anand, I. van Lelyveld, Á. Banai, S. Friedrich, R. Garratt, G. Halaj, B. Howell, I. Hansen, S. Martínez Jaramillo, H. Lee, J. L. Molina-Borboa, S. Nobili, S. Rajan, D. Salakhova, T. C. Silva, L. Silvestri & S. R. Stancato de Souza
Multiplex interbank networks and systemic importance. An application to European data
Iñaki Aldasoro & Ivan Alves
Presentation (PDF, 3.06 MB)
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| 16:00–17:30 |
Session 6 – Stress testing and market risk
Chair: Virginie Traclet (Bank of Canada)
A systemwide stress testing of the credit default swap market
Jill Cetina, Mark Paddrik & Sriram Rajan
Presentation (PDF, 457 KB)
Banking stress test effects on returns and risks
Ekaterina Neretina, Cenkhan Sahin & Jakob de Haan
Paper (PDF, 319 KB)
Gauging form PF. Data tolerances in regulatory reporting on hedge fund risk exposures
Mark D. Flood, Philip Monin & Lina Bandyopadhyay
Paper (PDF, 1.59 MB)
Presentation (PDF, 1.35 MB)
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| 17:30–18:00 |
Closing remarks
Refreshments
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