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 aim of the conference is to also 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.
The conference will take place on 29-30 June 2017 in the premises of Arcada University of Applied Sciences. The conference is single track with keynotes and poster sessions, as well as a pre-conference workshop on 28 June in the premises of Bank of Finland.
Target group
We welcome central bankers, supervisors, regulators, researchers, students and other interested parties to participate in the conference.
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 three themes:
- 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)
Papers and presentations
Pre-Conference Workshop 28 June 2017
- Ricardo Correa, Keshav Garud, Juan M. Londonoy, and Nathan Mislang: Sentiment in central bank's financial stability reports
Paper(pdf) - Hannes Köster and Matthias Pelster: Financial penalties and the systemic risk of bank
Presentation(pdf)
Paper(pdf) - Paolo Giudici and Laura Parisi: Bail-in or Bail-out? Default probability contagion in the European banking System
Presentation(pdf) - Gábor Fukker: Harmonic distances, centralities and systemic stability in heterogeneous interbank networks
Presentation(pdf)
Paper(pdf) - Marco lo Duca, A. Koban, C. Detken, B. Klaus, T. Peltonen, M. Basten, P. Kusmierczyk and J. H. Lang: A new database for financial crises in European countries
Conference Day 1, Thursday 29 June 2017
- Seung Jung Lee, Kelly E. Posenau and Viktors Stebunovsz: The Anatomy of Financial Vulnerabilities and Crises
Presentation(pdf)
Paper(pdf) - Marco Bardoscia, Paolo Barucca, Adam Brinley Codd and John Hill: The decline of solvency contagion
Presentation(pdf)
Paper(pdf) - Jan Hannes Lang and Peter Welz: Semi-structural credit gap estimation
Presentation(pdf) - Frank Hespeler: Monitoring Interconnectedness in the Money Market Fund Industry
Presentation(pdf) - Naoise Metadjer and Kitty Moloney: Liquidity Analysis of Bond and Money Market Funds
Presentation(pdf)
Paper(pdf) - Paolo Barucca, Tahir Mahmood and Laura Silvestri: Common asset holdings and systemic vulnerability across multiple types of financial institutions
Presentation(pdf) - Keynote, Daniel Gros: Financial Stability: the neglected stepchild of Maastricht
Presentation(pdf) - Pawel Fiedor, Sarah Lapschies and Lucia Orszaghova: Networks of central counterparties in the EU-wide interest rate derivatives market
Presentation(pdf)
Paper(pdf) - Marco D'Errico, Tuomas Peltonen and Tarik Roukny: A new toolkit for monitoring and managing systemic risk based on excess and compression
- Jean-Charles Garibal, Patrick Kouontchou, Bertrand Maillet and Sessi Tokpavi: What is a SIFI? On the Systemic Importance of Financial Institutions as determined by an Extended CAPM with Systemic Risk
Conference Day 2, Friday 30 June 2017
- Keynote, Ross Levine: Systemic risk analytics, A few inputs
Presentation(pdf) - Andre Lucas, Federico Nucera, Julia Schaumburg and Bernd Schwaab: Do negative interest rates make banks less safe?
Presentation(pdf) - Stefan Kerbl and Michael Sigmund: Negative Interest Rates: Forecasting Banks’ Profitability in a New Environment
Presentation(pdf)
Paper(pdf) - Benjamin Kay: Implications of Central Banks’ Negative Policy Rates on Financial Stability
Presentation (pdf) - Gregory J. Cohen, Seung Jung Lee and Viktors Stebunovsz: Limits to Monetary Policy Transmission at the Zero Lower Bound and Beyond: The Role of Nonbanks
Presentation(pdf)
Paper(pdf) - Anne-Caroline Hüser and Christoffer Kok: Systemic risk accounting
- Alejandro de la Concha, Serafin Martinez-Jaramillo and Christian Carmona: Multiplex financial networks: revealing the level of interconnectedness in the banking system
Presentation(pdf)
Paper(pdf) - Mark D. Flood, Dror Y. Kenett, Robin L. Lumsdaine and Jonathan K. Simon: The Complexity of Bank Holding Companies. A Topological Approach
Posters
- Francesco Lamperti, Andrea Roventini and Amir Sani: Agent-Based Model Calibration using Machine Learning Surrogates
- Thomas Forss: News-sentiment networks as a risk indicator
- Christoph Siebenbrunner: Clearing algorithms and network centrality
Poster(pdf) - Antoine Mandel and Amir Sani: An Automatic Algorithm to Manage the Forecast Combination Puzzle