Recent waves of financial instability have sparked an acute interest in analytics for systemic risk measurement. This 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 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 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 the following three themes (but not limited to):
- Implications of the zero interest-rate environment on systemic risk
- Mapping systemic risk analytics to macroprudential policy and regulation
- Risks and opportunities stemming from disruptive innovations in financial technology (FinTech)
Special issues
Presenters are encouraged to submit their papers for consideration in a special issue in the Quantitative Finance journal and the ESRB Working Paper Series.
programme
pre-conference workshop, bank of finland
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13:00–13:30 |
Registration & coffee |
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13:30–15:30 |
Opening remarks: Katja Taipalus (Head of Financial Stability, Bank of Finland) Workshop session 1 – Systemic Risk Analysis Interconnectedness in the global financial market Financial deepening versus credit booms - a historical perspective How to predict financial stress? An assessment of Markov |
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15:30–16:00 |
Refreshments |
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16:00–17:30 |
Workshop session 2 – Markets, Pricing and Infrastructure The European CCP eco-system Hedging or Speculating? Implications from different CDS motives |
Day 1, Arcada University of applied sciences
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8:00–9:00 |
Registration & coffee |
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9:00–10:00 |
Conference opening: Henrik Wolff (Rector, Arcada University of Applied Sciences) Keynote: Low interest rate environment and systemic risks – current issues |
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10:00–11:45 |
Session 1 – Banking Bank business models at zero interest rates Estimating the Impact of Shocks to Bank Capital in the Euro Area Simulating Fire-Sales in a Banking and Shadow Banking System |
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11:45–13:00 |
Lunch Poster session 1 – Systemic Risk, Financial Stress and Financial Cycles Dissecting the Financial Cycle with Dynamic Factor Models Use Of Unit Root Methods In Early Warning Of Financial Crises Bonus caps, deferrals, and bankers' risk-taking |
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13:00–15:20 |
Session 2 – Measuring Systemic Risk The Market Implied Probability of Government Intervention in Distressed Banks The multivariate nature of systemic risk: Direct and common exposure Transparent Systemic-Risk Scoring The systemic implications of bail-in: A multi-layered network approach |
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15:20–15:40 |
Refreshments |
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15:40–16:50 |
Session 3 – Financial Networks Measures of Financial Network Complexity Notional excess and the mechanics of portfolio compression |
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16:50–18:00 |
Session 4 – Financial Contagion and Fire Sales Systemic stress testing: Modelling fire sales in macro stress tests Market clustering and price instability |
Day 2, Arcada University of applied Sciences
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8:00–9:00 |
Registration & coffee |
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9:00–10:00 |
Keynote: Macroprudential analysis and policy at the ECB |
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10:00–11:15 |
Session 5 – Financial Contagion in Banking and Markets Contagion in the CDS Market Multiple Lending, Credit Lines and Financial Contagion |
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11:15–12:15 |
Keynote: Fire sales, price-mediated contagion and systemic risk |
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12:15–13:30 |
Lunch Poster session 2 – Liquidity and Sovereign Risk European Sovereign Systemic Risk Zones Market Liquidity and Systemic Risk of Government Bond Markets: Agent-based Model of systemic liquidity risk |
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13:30–15:15 |
Session 6 – Interconnectedness Systemic Risk and Sovereign Default in the Euro Area Financial Networks and Interconnectedness Risk in an Advanced The multilayer structure of the financial system |
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15:15–16:15 |
Keynote: Big Data in finance and beyond: Big Aha or Big Dada? |
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16:15 |
Closing remarks & refreshments |
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17:00 |
End of conference |