Recent waves of financial instability have sparked an interest in analytics for systemic risk measurement. This fifth 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 23–24 May 2019 at the Bank of Finland premises in Helsinki. The conference includes keynotes and presentations.
Target group
We welcome academics and experts of the conference topics to participate in the conference. Participation requires pre-registration. More information: fs.events[at]bof.fi.
Programme
Conference day 1, Thursday 23 May
| Conference Opening: Marja Nykänen (Deputy Governor, Bank of Finland) |
| Keynote: Bank resolution in practice - empiral evidence Thorsten Beck (Professor of Banking and Finance, Cass Business School, London) Presentation |
|
Session 1 - Shadow Banking & Market Microstructure What Drives Repo Haircuts? Evidence from the UK market Securitisation special purpose entities, bank sponsors and derivatives |
|
Session 2 - Modelling ModelFlow, a Toolset to solve and manage models Predicting Distresses using Deep Learning of Text Segments in Annual Reports Reverse Stress Testing |
| Keynote: Future AI is Creative Risto Miikkulainen (Professor of Computer Science, University of Texas at Austin) |
|
Session 3 - Macrofinancial linkages & growth at risk Macroprudential policy spillovers and international banking – Taking the gravity approach Managing GDP Tail Risk Macroeconomic Overheating and Financial Vulnerability It Takes More than Two to Tango: Understanding the Dynamics behind Multiple Bank Lending |
Conference day 2, Friday 24 May
|
Session 4 - Derivatives Simulating liquidity stress in the derivatives market Insurers' use of derivatives: too low? Interdependencies in central clearing in the EU derivatives markets |
| Keynote: The impacts of structural economic changes on monetary and macroprudential policies Olli Rehn (Governor, Bank of Finland) |
|
Session 5 – Market microstructure The October 2016 sterling flash crash Market makers and primary dealers as liquidity providers in the sovereign CDS market |
|
Session 6 - Detecting excessive credit growth Modelling the credit gap: A stochastic volatility approach Mind the Basel Gap |