2021 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics

1–2 July 2021

Call for papers, submission deadline: 31 March 2021

Bank of Finland
Auditorium, Rauhankatu 19, 00170 Helsinki, Finland

Information | Schedule

Summary

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 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 counter-measures 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 counter-measures
  • Economic policies and the climate change

Programme and venue

The conference will take place on 1–2 July 2021. Traditionally the conference has held at the Bank of Finland premises in Helsinki, but due to current situation with COVID-19 and uncertainty what the future brings, the conference has been decided to organize as a hybrid event, i.e. including virtual participation as well. Further information will be published closer to the event. The conference includes keynotes and presentations.

Paper submission

Academic papers to be considered for presentation at the conference should be submitted via online form by 31 March: https://www.lyyti.in/SRA2021cfp. Accepted paper presenters will be notified in due course, as well as the format of the presentations; there will be both oral and poster presentations in the conference.

Registration instructions

We welcome academics and experts of the conference topics to participate in the conference. Participation requires pre-registration. There is no registration fee. However, participants are expected to pay their expenses for travel and accommodation. Registration will open later in the spring.

More information: fs.events@bof.fi.

A joint conference by RiskLab at Arcada, Bank of Finland and ESRB

Highlights

  • What: Conference on Systemic Risk Analytics

  • When: 1–2 July 2021

  • Where: Bank of Finland, Helsinki / Online event

Keynote speakers

  • Olli Rehn (Governor, Bank of Finland)
  • Paul Hiebert (Head of Systemic Risk Division, ECB)
  • Ron Dembo (Founder and CEO, Riskthinking.ai)

Organizers

Organizing committee

  • Kaj-Mikael Björk (RiskLab at Arcada & Hanken School of Economics)
  • Tuomas Peltonen (European Systemic Risk Board)
  • Peter Sarlin (RiskLab at Arcada, Hanken School of Economics & Silo.AI)
  • Katja Taipalus (Bank of Finland)

More information

www.suomenpankki.fi

Schedule

Day 1, Thursday 1 July 2021

Bank of Finland, Auditorium, Rauhankatu 19, Helsinki, Finland

10:00 – 10:15

Conference opening: Marja Nykänen

10:15 – 11:15

Keynote: Paul Hiebert

11:15 – 12:15

Session 1: Interbank markets

Anne-Caroline Huser: How does the repo market behave under stress? Evidence from the COVID-19 crisis

Xian Gu: The Interbank Market Puzzle

12:15 – 13:00

Lunch

13:00 – 13:30

Keynote: Olli Rehn

13:30 – 14:30

Session 2: Non-banks and financial markets

Daniel Fricke: Synthetic Leverage and Fund Risk-Taking

Mark Paddrik: Intermediation Networks and Market Liquidity: Evidence from CDS Markets

14:30 – 15:30

Session 3: Financial crises

Goutham Gopalakrishna: A Macro-Finance model with Realistic Crisis Dynamics

Karsten Müller: Credit Allocation and Macroeconomic Fluctuations

15:30 – 15:45

Coffee Break

15:45 – 16:45

Session 4: Financial crises II

Francesco Mazzola: Fire Sale Risk and Credit

Seung Jung Lee: Identifying Financial Crises Using Machine Learning on Textual Data

Day 2, Friday 2 July 2021

Bank of Finland, Auditorium, Rauhankatu 19, Helsinki, Finland

10:00 – 11:00

Session 5: Lessons from the COVID-19 pandemic 10.00-11.00

Sascha Steffen: Why did bank stocks crash during COVID-19?

Sumudu Watugala: Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis

11:00 – 12:00

Session 6: Financial networks

Luca Nocciola: Temporal networks in the analysis of financial contagion

Carlos Ramirez: Regulating Financial Networks: A Flying Blind Problem

12:00 – 12:40

Lunch

12:40 – 13:40

Session 8: Financial regulation and policy

Marcelo Rezende: How Do Systemically Important Banks Lower Capital Surcharges?

Lucyna Gornicka: Stress Testing and Calibration of Macroprudential Policy Tools

13:40 – 14:30

Session 7: Climate risks and crypto currencies

Hongyu Shan: Corporate Climate Risk: Measurements and Responses

Alfred Lehar: Miner Collusion and the BitCoin Protocol

14:40 – 14:55

Coffee Break

14:55 – 15:55

Keynote: Ron Dembo

15:55 – 16:00

Closing remarks