Recent waves of financial instability have sparked an acute interest in analytics for systemic risk measurement. This fourth 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 29-30 May 2018 at the Bank of Finland premises in Helsinki. The conference includes keynotes, presentations and poster sessions, as well as a pre-conference workshop on 28 May.

Target group

We welcome academics and experts of the conference topics to participate in the conference. Participation requires pre-registration, for more information please contact: RMsihteerit(at)



Workshop, Monday 28 May 2018

Opening remarks: Katja Taipalus (Head of Financial Stability and Statistics, Bank of Finland)

Workshop - Session 1

Lending standards and output growth
Divya Kirti (International Monetary Fund) Paper

LTV Limit and Borrower Risk
Nitzan Tzur-Ilan (Bank of Israel and Hebrew University) Presentation

Investment strategies of euro area insurers and pension funds: Pro- or counter-cyclical?
Margherita Giuzio (European Central Bank) Paper, Presentation
co-author Linda Fache Rousová

FSB work on vulnerabilities assessment
Jon Frost (Financial Stability Board)

Cleveland Fed Systemic Risk Indicator
Simon Kwan (Federal Reserve Bank of San Francisco) Presentation

Workshop - Session 2

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
Jérémy Leymarie (University of Orléans) Paper, Presentation
co-authors Denisa Banulescu, Christophe Hurlin, Olivier Scaillet

Identification and assessment of systemic risks in financial networks: Modelling fire sales from regulatory cliff effects
Graeme Cokayne (Danmarks Nationalbank) Paper, Presentation
co-author Andreas Brøgger


Conference Day 1, Tuesday 29 May

Conference Opening: Marja Nykänen (Member of the Board, Bank of Finland)

Keynote: How regulation and macroprudential policies should respond to changes in the financial landscape?
Erkki Liikanen (Governor, Bank of Finland)

Session 1 - Derivative markets, CCPs and post-trade operations

Cleaninghouse-Five: Determinants of voluntary clearing in European derivatives markets
Pawel Fiedor (Central Bank of Ireland) Paper, Presentation

The Demand for Central Clearing: To Clear or Not to Clear, That is the Question
Mario Bellia (Research Center SAFE, Goethe University Frankfurt) Paper
co-authors Roberto Panzica, Loriana Pelizzon, Tuomas Peltonen

Multiplex network analysis of the UK OTC derivatives market
Marco Bardoscia (Bank of England) Paper, Presentation
co-authors Ginestra Bianconi, Gerardo Ferrara

A Macroprudential View on Portfolio Compression
Marco D'Errico (European Systemic Risk Board)
co-authors Tuomas Peltonen, Tarik Roukny

Keynote: Post-Crisis Bank Regulations and Financial Market Liquidity
Darrell Duffie (Professor, Stanford University's Graduate School of Business) Presentation

Session 2 - Fire sales, liquidity and systemic risk

Do interbank markets price systemic risk?
Christoph Siebenbrunner (University of Oxford) Paper, Presentation
co-author Michael Sigmund

Taking regulation seriously: Fire sales under solvency and liquidity constraints
Caterina Lepore (Bank of England) Presentation
co-authors Jamie Coen, Eric Schaanning

Can Swing Pricing Prevent Mutual Fund Runs and Failures?
Marko Weber (Columbia University) Paper, Presentation
co-authors Agostino Capponi, Paul Glasserman

Monitoring Indirect Contagion
Eric Schaanning (ETH Zurich and Norges Bank) Paper, Presentation
co-author: Rama Cont


Conference Day 2, Wednesday 30 May

Session 3 - Market and funding liquidity

Illiquidity Spirals in Coupled Over-the-Counter Markets
Co-Pierre Georg (Deutsche Bundesbank, University of Cape Town) Paper, Presentation
co-authors Christoph Aymanns, Benjamin Golub

Fire-sale channels, portfolio overlap networks and the credit spread puzzle
Dieter Wang (Vrije Universiteit Amsterdam, De Nederlandsche Bank)
co-authors Julia Schaumburg, Iman van Lelyveld

Agent-based model of system-wide implications of funding risk
Grzegorz Halaj (European Central Bank, Bank of Canada) Paper, Presentation

Poster Session

Fragility and Inefficient Fire Sales in Decentralized Asset Markets
Ehsan Ebrahimy (International Monetary Fund) Paper, Poster

Multilayer Aggregation with Statistical Validation: Application to Investor Networks
Kestutis Baltakys (Tampere University of Technology) Paper, Poster
co-authors Juho Kanniainen, Frank Emmert-Streib

An Anatomy of the euro area Interest Rate Swap Market
Martin Scheicher (European Central Bank)
co-authors Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon

Session 4 - Stress testing

Modeling your stress away
Viktors Stebunovs (Federal Reserve Board) Paper, Presentation
co-author Friederike Niepmann

Reconstructing and Stress Testing Credit Networks
Amanah Ramadiah (University College London) Paper, Presentation
co-authors Fabio Caccioli, Daniel Fricke

Keynote: Fintech, Blockchain and Crypto Assets
Andrei Kirilenko (Director, Centre for Global Finance and Technology at the Imperial College Business School)

Session 5 - CDS market and systemic risk

Crises in the modern financial ecosystem
Giovanni di Iasio (European Central Bank) Paper, Presentation

Disastrous Defaults
Sarah Mouabbi (Banque de France) Pape
co-authors Christian Gouriéroux, Alain Monfort, Jean-Paul Renne