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

Information | Schedule | Papers & Slides


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.


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.


  • 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)


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)


Pre-conference workshop, Wednesday 23 September 2015


Registration & coffee


Opening remarks: Kaj-Mikael Björk (Head of Department of Business Management and Analytics, Arcada University of Applied Sciences)


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

Markus Behn, Marco Gross & Tuomas Peltonen
Assessing capital-based macroprudential policy using an integrated early warning GVAR model




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

Consuelo Silva-Buston
Systemic risk and competition: the bright side of bank concentration


End of pre-conference workshop



Day 1, Thursday 24 September 2015


Registration & coffee


Conference opening: Seppo Honkapohja (Member of the Board, Bank of Finland)


Keynote: Philipp Hartmann (Deputy Director General Research, European Central Bank)
Systemic risk research and macroprudential policy making: Where do we stand?


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

Maarten R.C. van Oordt & Chen Zhou
Systemic risk and bank business models

Gunter Löffler & Peter Raupach
Pitfalls in the use of systemic risk measures
 [Paper] [Slides]


Lunch & poster session 1


Keynote: Erkki Liikanen (Governor, Bank of Finland)
The role of analysis in macroprudential policy


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

Monica Billio, Massimiliano Caporin, Roberto Panzica & Loriana Pelizzon
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification


Refreshments & poster session 2


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]


End of day 1

Day 2, Friday 25 September 2015


Registration & coffee


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


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


Lunch & poster session 3


Keynote: Stefano Battiston (Professor of Banking, University of Zurich)
The price of complexity in financial markets


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


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

Ekaterina Neretina, Cenkhan Sahin & Jakob de Haan
Banking stress test effects on returns and risks

Mark D. Flood, Philip Monin & Lina Bandyopadhyay
Gauging form PF. Data tolerances in regulatory reporting on hedge fund risk exposures
 [Paper] [Slides]


Refreshments & closing remarks


End of conference

Poster sessions

Poster session 1 – Systemic risk, prediction and policies

Jozsef Mezei & Peter Sarlin
RiskRank: Measuring inteconnected risk

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

Christoph Siebenbrunner, Michael Sigmund & Stefan Kerbl
Estimating network contagion with limited data

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

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]