2022 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics

RiskLab at Arcada, Bank of Finland and European Systemic Risk Board joint conference
5-6 May 2022

Helsinki, Finland

RiskLab, Bank of Finland and ESRB logos

Even after a decade of stable 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, post-Covid macroprudential challenges 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, optimal timing of macro-prudential countermeasures 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 macro-prudential 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 countermeasures
  • Economic policies and the climate change
  • Economic policies in the post-Covid era

Target group

We welcome academics and experts of the conference topics to participate in the conference. More information: fs.events[at]bof.fi.

Programme 

Conference Day 1
Conference opening: Marja Nykänen (Deputy Covernor, Bank of Finland)
Keynote: Reflections on AI and System Risks
Pekka Ala-Pietilä (Chairman of the EU´s High-Level Expert Group on Articificial Intelligence, ex-Nokia President)

Session 1

From Granular Credit Risk to Credit Supply: The Probability of Default Channel
Julien Idier (Banque de France) Paper, Presentation
co-authors: Antoine Baena (Banque de France, University Paris)
Dauphine Aurélien Espic (Banque de France)

Growth-at-risk and macroprudential policy design
Javier Suarez (Center for Monetary and Financial Studies) Paper, Presentation

Session 2

Micro Velocity: rethinking the Velocity of Money for digital currencies
Carlo Campajola (University of Zürich) Paper, Presentation
co-author: Marco D'errico (European Systemic Risk Board)

Cybersecurity and financial stability
Kartik Anand (Deutsche Bundesbank) Paper, Presentation
co-authors: Chanelle Duley (University of Auckland), Prasanna Gai (University of Auckland)

Session 3

Who creates and who bears flow externalities in mutual funds?
Hannes Wilke (Deutsche Bundesbank) Paper, Presentation
co-authors: Daniel Fricke (Deutsche Bundesbank), Stephan Jank (Deutsche Bundesbank)

Securities Portfolio Management in the Banking Sector
Samuel Rosen (Temple University) Paper, Presentation
co-author: Xun Zhong (Fordham University)

Session 4 

Sentiment in Bank Examination Reports and Bank Outcomes
Seung Jung Lee (Federal Reserve Board) Paper, Presentation
co-authors: Maureen Cowhey (Federal Reserve Board), Thomas Popeck Spiller (Federal Reserve Board), Cindy Vojtech (Federal Reserve Board)

The Geography of Bank Deposits and the Origins of Aggregate Fluctuations
Shohini Kundu (University of California) Paper, Presentation
co-authors: Seongjin Park, (University of Chicago Booth School of Business),
Nishant Vats (University of Chicago Booth School of Business)

Keynote: The information view of debt: new evidence and risks
Bengt Holmström (Nobel laureate, Professor of Economics, Emeritus at Massachusetts Institute of Technology MIT)

Conference Day 2

Session 5

Contagion from market price impact: a price-at-risk perspective
Gábor Fukker (European Central Bank) & Michiel Kaijser (Vrije Universiteit, Amsterdam) Paper, Presentation
co-authors:Luca Mingarelli (European Central Bank), Matthias Sydow (European Central Bank)

Technology Adoption and the Bank Lending Channel of Monetary Policy Transmission
Xiang Li (Halle Institute for Economic Research (IWH)
co-author: Iftekhar Hasan (Fordham University)

Session 6

Does Liquidity Management Induce Fragility in Treasury Prices? Evidence from Bond Mutual Funds
Xin Liu (Renmin University of China) Paper, Presentation
co-authors: Shiyang Huang (The University of Hong Kong), Wenxi Jiang (The Chinese University of Hong Kong), Xiaoxi Liu (Bank for International Settlement)

A Thousand Words Tell More Than Just Numbers: Financial Crises and Historical Headlines
Kim Ristolainen (University of Turku) Presentation
co-authors: Tomi Roukka (University of Turku), Henri Nyberg (University of Turku)
Keynote: Market ecology, complexity economics and systemic risk
Doyne Farmer (Professor of Mathematics and Director of Complexity Economics, University of Oxford)

Session 7

News and Networks: Using Text Analytics to Assess Bank
Networks During COVID-19 Crisis
Daniela Scida (Federal Reserve Board, Bank of Richmond) Paper, Presentation
co-authors: Sophia Kazinnik (Federal Reserve Bank of Richmond), Cooper Killen (Federal Reserve Bank of Chicago), John Wu (Federal Reserve Bank of Richmond)

Systemic Fragility in Decentralized Markets
Alfred Lehar (University of Calgary) Paper, Presentation
co-author: Christine Parlour (UC Berkeley)

Session 8

Growth at Risk from Climate Change
Michael Kiley (Federal Reserve Board) Paper, Presentation

Financing the low-carbon transition in Europe
Olimpia Carradori (European Central Bank) Presentation
co-authors:Katia Vozian (European Central Bank, Helsinki Graduate School of Economics, Hanken School of Economics, Leibniz Institute for Financial Research SAFE)Margherita Giuzio (European Central Bank), Dilyara Salakhova (European Central Bank),
Sujit Kapadia (European Central Bank)

Closing remarks

Programme for SRA2022 (pdf.)

Poster session

Anomaly intersection: disentangling data quality and financial stability developments
Marco D'errico (European Central Bank - ESRB Secr.)

Liquidity Risk in FinTech Lending: Early Impact of
COVID-19 Pandemic on P2P Lending Market
Asror Nigmonov (Center for Economic Research and Reforms, Uzbekistan; Monash University, Australia) Poster
The impact of climate transition risks on financial stability. A
systemic risk approach.
Javier Ojea-Ferreiro (Joint Research Centre of the European Commission) Poster

Are Bank Bailouts Welfare Improving?Global Banks and Systemic Risk: The Dark Side of       Malik Shukayev (University of Alberta) Poster
Are green loans less risky? Micro-evidence from an European Emerging Economy*Modelling Florin Dragu (National Bank of Romania) Poster
Swing pricing and flow dynamics in light of the Covid-19 crisis
Thomas Garcia (Banque de France) Poster

Leasing as a Mitigation Channel of Capital Misallocation
Yiming Xu (Cambridge University) Poster