2016 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics
5–7 October 2016
Bank of Finland
Auditorium, Rauhankatu 19, 00170 Helsinki, Finland
and
Arcada University of Applied Sciences
Jan-Magnus Janssonin aukio 1, 00560 Helsinki, Finland
Summary
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.
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 the following three themes (but not limited to):
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)
Program and venue
The conference will take place on October 6-7, 2016 in the premises of Arcada. The conference is single track with keynotes and poster sessions, as well as a pre-conference workshop on October 5 at the Bank of Finland. The conference is accompanied with a social event for speakers on October 6 that takes place at Bank of Finland’s villa.
Special issues
Presenters are encouraged to submit their papers to a post-conference special issue. The journal will be announced later.
A joint conference by RiskLab at Arcada, Bank of Finland and ESRB
Highlights
What: Conference on Systemic Risk Analytics
When: October 5-7, 2016
Where: Arcada, Helsinki, Finland
Keynote speakers
Erkki Liikanen (Governor of Bank of Finland)
Stefan Mittnik (Professor at LMU Munich)
Sergio Nicoletti-Altimari (Director General at DG/MF, ECB)
Rama Cont (Professor at Imperial College London)
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)
Prasanna Gai (The University of Auckland)
Mark Flood (Office of Financial Research at US Treasury)
Tor Jacobson (Sveriges Riksbank)
Sam Langfield (European Systemic Risk Board)
Iman van Lelyveld (DNB & Free University Amsterdam)
Ross Levine (Haas School of Business, UC Berkeley)
Camelia Minoiu (International Monetary Fund)
José-Luis Peydró (Universitat Pompeu Fabra)
Bernd Schwaab (European Central Bank)
Jouko Vilmunen (Bank of Finland)
Schedule
Workshop, Wednesday 5 October 2016
Bank of Finland, Auditorium, Rauhankatu 19, Helsinki
13:00–13:30
Registration & coffee
13:30–15:30
Opening remarks: Katja Taipalus (Head of Financial Stability, Bank of Finland)
Workshop session 1 – Systemic Risk Analysis
Chair: Peter Sarlin (RiskLab at Arcada and Hanken School of Economics)
Matthias Raddant , Dror Y. Kenett
Interconnectedness in the global financial market [Paper]
Mathias Drehmann, Mikael Juselius, Sarah Quincy
Financial deepening versus credit booms – a historical perspective on the probability of financial crises
Thibault Duprey, Benjamin Klaus
How to predict financial stress? An assessment of Markov switching versus logit models
15:30–16:00
Refreshments
16:00–17:30
Workshop session 2 – Markets, pricing and infrastructure
Chair: Tuomas Peltonen (European Systemic Risk Board)
Benedetta Bianchi, Angela Armakola, Henrik Hansen
The European CCP eco-system
Iñaki Aldasoro, Andreas Barth
Hedging or Speculating? Implications from different CDS motives
Evening
Get-together
Day 1, Thursday 6 October 2016
Arcada University of Applied Sciences, Jan-Magnus Janssonin aukio 1, 00560 Helsinki
8:00–9:00
Registration & coffee
9:00–10:00
Conference opening: Henrik Wolff (Rector, Arcada University of Applied Sciences)
Keynote: Erkki Liikanen (Governor, Bank of Finland)
Low interest rate environment and systemic risks – current issues
10:00–11:45
Session 1 – Banking
Chair: Katja Taipalus (Bank of Finland)
Andre Lucas, Julia Schaumburg, Bernd Schwaab
Bank business models at zero interest rates [Paper]
Derrick Kanngiesser, Reiner Martin, Laurent Maurin, Diego Moccero
Estimating the Impact of Shocks to Bank Capital in the Euro Area [Paper]
Susanna Calimani, Grzegorz Hałaj, Dawid Zochowski
Simulating Fire-Sales in a Banking and Shadow Banking System
11:45–13:00
Lunch & poster session 1
13:00–15:20
Session 2 – Measuring Systemic Risk
Chair: Esa Jokivuolle (Bank of Finland)
Richard Neuberg, Paul Glasserman, Benjamin Kay, Sriram Rajan
The Market Implied Probability of Government Intervention in Distressed Banks
Paolo Giudici, Peter Sarlin, Alessandro Spelta
The multivariate nature of systemic risk: Direct and common exposure [Paper]
Sylvain Benoit, Christophe Hurlin, Christophe Pérignon
Transparent Systemic-Risk Scoring [Paper]
Anne-Caroline Hüser, Grzegorz Hałaj, Christoffer Kok, Cristian Perales, Anton van der Kraaij
The systemic implications of bail-in: A multi-layered network approach
15:20–15:40
Refreshments
15:40–16:50
Session 3 – Financial Networks
Chair: Jouko Vilmunen (Bank of Finland)
Mark Flood, Jonathan Simon, Mathew Timm
Measures of Financial Network Complexity
Marco D’Errico, Tarik Roukny
Notional excess and the mechanics of portfolio compression
16:50–18:00
Session 4 – Financial Contagion and Fire Sales
Chair: Kaj-Mikael Björk (RiskLab at Arcada University of Applied Sciences)
Rama Cont, Eric Schaanning
Systemic stress testing: Modelling fire sales in macro stress tests
Marc van Kralingen, Diego Garlaschelli, Iman van Lelyveld
Market clustering and price instability
Day 2, Friday 7 October 2016
Arcada University of Applied Sciences, Jan-Magnus Janssonin aukio 1, Helsinki
8:00–9:00
Registration & coffee
9:00–10:00
Keynote: Sergio Nicoletti Altimari (Director General Macroprudential Policy and Financial Stability, European Central Bank)
Macroprudential analysis and policy at the ECB
10:00–11:15
Session 5 – Financial Contagion in Banking and Markets
Chair: Jouni Timonen (Bank of Finland)
Mark Paddrik, Sriram Rajan, H. Peyton Young
Contagion in the CDS Market
Giuseppe Cappelletti, Paolo Emilio Mistrulli
Multiple Lending, Credit Lines and Financial Contagion
11:15–12:15
Keynote: Rama Cont (Professor, Imperial College London)
Fire sales, price-mediated contagion and systemic risk
12:15–13:30
Lunch & poster session 2
13:30–15:15
Session 6 – Interconnectedness
Chair: Tuomas Peltonen (European Systemic Risk Board)
Deyan Radev
Systemic Risk and Sovereign Default in the Euro Area [Paper]
Ariel J. Sun, Jorge A. Chan-Lau
Financial Networks and Interconnectedness Risk in an Advanced Emerging Market Economy [Paper]
Richard M. Bookstaber, Dror Y. Kenett
The multilayer structure of the financial system [Paper]
15:15–16:15
Keynote: Stefan Mittnik (Professor, LMU München)
Big Data in finance and beyond: Big Aha or Big Dada?
16:15
Closing remarks & refreshments
17:00
End of conference
Poster sessions
Poster session 1 – Systemic Risk, Financial Stress and Financial Cycles
Christian Menden and Christian R. Proaño
Dissecting the Financial Cycle with Dynamic Factor Models [Paper]
Eero Tölö, Katja Taipalus, Matti Virén, Timo Virtanen
Use Of Unit Root Methods In Early Warning Of Financial Crises [Paper]
Esa Jokivuolle, Jussi Keppo, Xuchuan Yuan
Bonus caps, deferrals, and bankers’ risk-taking [Paper]
Poster session 2 – Liquidity and Sovereign Risk
Veni Arakelian, Petros Dellaportas, Roberto Savona, Marika Vezzoli
European Sovereign Systemic Risk Zones [Paper]
Toshiyuki Sakiyama and Tetsuya Yamada
Market Liquidity and Systemic Risk of Government Bond Markets: Network Analysis and Agent Based Model Approach [Paper]
Grzegorz Halaj
Agent-based Model of systemic liquidity risk
Papers
- Arakelian, Dellaportas, Savoni and Vezzoli
- Benoit, Hurlin and Pérignon
- Bookstaber and Kenett
- Giudici, Sarlin and Spelta
- Jokivuolle, Keppo and Yuan
- Kanngiesser, Martin, Maurin and Moccero
- Lucas, Schaumburg and Schwaab
- Menden and Proaño
- Tölö, Taipalus, Virén and Virtanen
- Sun and Chan-Lau
- Sakiyama and Yamada
- Radev
- Raddant and Kenett