2015 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics
23-25 September 2015
Arcada University of Applied Sciences
Jan-Magnus Janssonin aukio 1, 00560 Helsinki, Finland
Summary
In the aftermath of the global financial crisis, there is an acute interest in analytics for early identification and assessment of systemic risk and vulnerabilities that may eventually lead to systemic financial crisis. This conference brings together most recent advances on computational tools for systemic risk identification and assessment. 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 conference covers policy and practitioner-oriented research related to systemic risk measurement, including interdisciplinary empirical and theoretical work on system-wide macro-financial risks. We solicit contributions covering a broad range of topics related to systemic risk analytics and macroprudential policy, particularly (but not limited to):
Systemic risk and early-warning indicators and models
Network analysis, contagion models and spillover models
Macro stress-testing, scenario analysis and simulation
Coinciding systemic financial stress measures
Measures of systemically important financial institutions
Visualization of systemic risk related data and models
Uncertainty in systemic risk modeling and measurement
Data innovations, challenges, gaps and quality
Mapping analytics to macroprudential policy and regulation
Program and venue
The conference will take place on September 24-25, 2015 in the premises of Arcada. The conference is single track with keynotes and poster sessions, as well as a pre-conference workshop on September 23. The current program can be found here.
Special issues
In line with the interdisciplinary focus of the conference, we have post-conference special issues in one finance and one machine learning journal. Presenters are encouraged to submit their papers to special issues in Quantitative Finance and Neurocomputing.
Highlights
What: Conference on Systemic Risk Analytics
When: September 24-25, 2015
Where: Arcada, Helsinki, Finland
Keynote speakers
Stefano Battiston (University of Zurich)
Jon Danielsson (London School of Economics)
Philipp Hartmann (European Central Bank & CEPR)
Erkki Liikanen (Bank of Finland)
Organizers
Organizing committee:
Tuomas Peltonen (European Systemic Risk Board)
Peter Sarlin (RiskLab at Arcada and Hanken School of Economics)
Katja Taipalus (Bank of Finland)
Program committee:
Stefano Battiston (University of Zurich)
Kaj-Mikael Björk (RiskLab at Arcada)
Elena Carletti (Bocconi University)
Mark Flood (Office of Financial Research at US Treasury)
Sam Langfield (European Systemic Risk Board)
Camelia Minoiu (International Monetary Fund)
José-Luis Peydró (Universitat Pompeu Fabra)
Bernd Schwaab (European Central Bank)
David Thesmar (HEC Paris)
Jouko Vilmunen (Bank of Finland)
Schedule
Pre-conference workshop, Wednesday 23 September 2015
13:00–13:30
Registration & coffee
13:30–13:35
Opening remarks: Kaj-Mikael Björk (Head of Department of Business Management and Analytics, Arcada University of Applied Sciences)
13:35–16:00
Pre-conference workshop – session 1
Chair: Peter Sarlin (Hanken School of Economics, RiskLab Finland)
Markus Holopainen & Peter Sarlin
CrisisModeler: a tool for exploring crisis predictions [Paper] [Slides]
Stijn Ferrari & Mara Pirovano
Early warning indicators for banking crises: a conditional moments approach [Paper] [Slides]
Fuchun Li & Hong Xiao
Early warning for financial stress events: a credit-regime switching approach [Slides]
Markus Behn, Marco Gross & Tuomas Peltonen
Assessing capital-based macroprudential policy using an integrated early warning GVAR model [Slides]
16:00–16:30
Refreshments
16:30–18:30
Pre-conference workshop – session 2
Chair: József Mezei (Åbo Akademi University, RiskLab Finland, Arcada University of Applied Sciences)
Michela Rancan, Andrea Pagano & Marco Petracco Giudici
Cross border losses in the European banking sector
André Silva
Strategic complementarity in banks’ funding liquidity choices and financial stability [Slides]
Consuelo Silva-Buston
Systemic risk and competition: the bright side of bank concentration
18:30
End of pre-conference workshop
20:30–
Gettogether
Day 1, Thursday 24 September 2015
8:00–9:00
Registration & coffee
9:00–9:05
Conference opening: Seppo Honkapohja (Member of the Board, Bank of Finland)
9:05–10:00
Keynote: Philipp Hartmann (Deputy Director General Research, European Central Bank)
Systemic risk research and macroprudential policy making: Where do we stand?
10:00–12:00
Session 1 – Systemic risk measurement
Chair: Karlo Kauko (Bank of Finland)
Federico Nucera, Bernd Schwaab, Siem Jan Koopman & André Lucas
The information in systemic risk rankings [Paper]
Maarten R.C. van Oordt & Chen Zhou
Systemic risk and bank business models [Paper]
Gunter Löffler & Peter Raupach
Pitfalls in the use of systemic risk measures [Paper] [Slides]
12:00–13:30
Lunch & poster session 1
13:30–14:00
Keynote: Erkki Liikanen (Governor, Bank of Finland)
The role of analysis in macroprudential policy
14:00–16:00
Session 2 – Contagion and interbank markets
Chair: Jouko Vilmunen (Bank of Finland)
Stefano Battiston, Marco D’Errico, Tuomas Peltonen & Martin Scheicher
Passing the hot potato: how does credit risk flow in the CDS market?
Tarik Roukny, Stefano Battiston & Joseph E. Stiglitz
Interconnectedness as a source of uncertainty in systemic risk [Slides]
Monica Billio, Massimiliano Caporin, Roberto Panzica & Loriana Pelizzon
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification [Slides]
16:00–16:30
Refreshments & poster session 2
16:30–17:45
Session 3 – Big data
Chair: Kaj-Mikael Björk (Arcada university of Applied Sciences)
Rickard Nyman, David Gregory, Sujit Kapadia, Paul Ormerod, David Tuckett & Robert Smith
News and narratives in financial systems: exploiting big data for systemic risk assessment [Paper] [Slides]
Samuel Rönnqvist & Peter Sarlin
Detect & Describe: deep learning of bank stress in the news [Paper] [Slides]
17:45
End of day 1
Day 2, Friday 25 September 2015
8:00–9:00
Registration & coffee
9:00–10:00
Keynote: Jon Danielsson (Associate Professor of Finance, Director of the Systemic Risk Centre of the London School of Economics and Political Science)
On the nature of financial risk: Why risk is so hard to measure and why (systemic) risk models fail so often
10:00–12:00
Session 4 – Liquidity
Chair: Jouni Timonen (Bank of Finland)
Ben Craig, Dilyara Salakhova & Martin Saldias
Payment delays and contagion
Prasanna Gai & Sujit Kapadia
Liquidity hoarding, network externalities, and interbank market collapseem>
Marco van der Leij, Serafin Martinez-Jaramillo, Jose Luis Molina-Borboa & Fabrizio Lopez-Gallo
Liquidity hoarding in the interbank market: Evidence from Mexican interbank overnight loan and repo transactions
12:00–13:30
Lunch & poster session 3
13:30–14:30
Keynote: Stefano Battiston (Professor of Banking, University of Zurich)
The price of complexity in financial markets
14:30–16:00
Session 5 – Interconnectedness and networks
Chair: Kimmo Virolainen (Bank of Finland)
K. Anand, I. van Lelyveld, Á. Banai, S. Friedrich, R. Garratt, G. Halaj, B. Howell, I. Hansen, S. Martínez Jaramillo, H. Lee, J. L. Molina-Borboa, S. Nobili, S. Rajan, D. Salakhova, T. C. Silva, L. Silvestri & S. R. Stancato de Souza
The missing links: a global study on uncovering financial network structure from partial data
Iñaki Aldasoro & Ivan Alves
Multiplex interbank networks and systemic importance. An application to European data [Slides]
16:00–17:30
Session 6 – Stress testing and market risk
Chair: Virginie Traclet (Bank of Canada)
Jill Cetina, Mark Paddrik & Sriram Rajan
A systemwide stress testing of the credit default swap market [Slides]
Ekaterina Neretina, Cenkhan Sahin & Jakob de Haan
Banking stress test effects on returns and risks [Paper]
Mark D. Flood, Philip Monin & Lina Bandyopadhyay
Gauging form PF. Data tolerances in regulatory reporting on hedge fund risk exposures [Paper] [Slides]
17:30–18:00
Refreshments & closing remarks
18:00
End of conference
Poster sessions
Poster session 1 – Systemic risk, prediction and policies
Jozsef Mezei & Peter Sarlin
RiskRank: Measuring inteconnected risk [Slides]
David Aikman, Michael Kiley, Seung Jung Lee, Michael Palumbo & Missaka Warusawitharana
Mapping heat in the U.S. Financial system [Paper] [Slides]
William Abel & Laura Silvestri
An empirical analysis of network reconstruction methods using UK CDS networks [Slides]
Christoph Siebenbrunner, Michael Sigmund & Stefan Kerbl
Estimating network contagion with limited data [Slides]
Poster session 2 – Shadow banking, financial markets and financial market infrastructure
Frank Hespeler & Giuseppe Loiacono
Monitoring systemic risk in the hedge funds sector [Paper] [Slides]
Alejandro Bernales & Mario di Filippo
The information contained in money market interactions: unsecured vs. Collateralized lending [Paper] [Slides]
Paolo Giudici & Laura Parisi
Modeling sovereign risk with correlated stochastic processes [Paper]
Poster session 3 – Systemic risk, competition and contagion
Jingnan Chen, Mark D. Flood & Richard B. Sowers
Uncertainty quantification and the certification problem: an application to financial stress testing [Paper] [Slides]
Aurélien Leroy & Yannick Lucotte
Is there a competition-stability trade-off in European banking? [Paper] [Slides]
Julien Idier & Thibaut Piquard
Pandemic crises in financial systems and liquidity emergency [Paper] [Slides]
Grzegorz Halaj, Tuomas Peltonen & Martin Scheicher
Default events and evolution of CDS market structure
Patrik Kouontchou, Alejandro Modesto & Bertrand Maillet
When unity makes strength: a systemic risk index [Paper] [Slides]
Papers
- Aikman et al.
- Bernales and di Filippo
- Chen et al.
- Ferrari and Pirovano
- Flood et al.
- Giudici and Parisi
- Hespeler and Loiacono
- Holopainen and Sarlin
- Idier and Piquard
- Kouontchou et al.
- Leroy and Lucotte
- Löffler and Raupach
- Neretina et al.
- Nucera et al.
- Nyman et al.
- Rönnqvist and Sarlin
- van Oordt and Zhou
Slides
- Pre-conference, Session 1 – Holopainen
- Pre-conference, Session 1 – Ferrari and Pirovano
- Pre-conference, Session 1 – Li
- Pre-conference, Session 1 – Gross and Behn
- Pre-conference, Session 2 – Silva
- Day 1, Poster session 1 – Mezei
- Day 1, Poster session 1 – Lee
- Day 1, Poster session 1 – Silvestri
- Day 1, Poster session 1 – Kerbl et al.
- Day 1, Poster session 2 – Loiacono and Hespeler
- Day 1, Poster session 2 – di Filippo
- Day 1, Session 1 – Raupach
- Day 1, Session 2 – Roukny
- Day 1, Session 2 – Panzica
- Day 1, Session 3 – Tuckett and Nyman
- Day 1, Session 3 – Rönnqvist
- Day 2, Poster session 3 – Flood
- Day 2, Poster session 3 – Lucotte
- Day 2, Poster session 3 – Idier and Piquard
- Day 2, Poster session 3 – Maillet
- Day 2, Session 5 – Aldasoro
- Day 2, Session 6 – Rajan
- Day 2, Session 6 – Flood