2017 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics

28-30 June 2017

Bank of Finland
Auditorium, Rauhankatu 19, 00170 Helsinki, Finland
Arcada University of Applied Sciences
Jan-Magnus Janssonin aukio 1, 00560 Helsinki, Finland

Information | Schedule | Papers


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.


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 three themes:

  • 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 June 29-30, 2017 at Arcada. The conference is single track with keynotes and poster sessions, as well as a pre-conference workshop on June 28 in the premises of the Bank of Finland. The conference is accompanied with a social event for speakers on June 29 that takes place at Bank of Finland’s villa. Please register for the conference by 20 June, 2017 through this form.

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


  • What: Conference on Systemic Risk Analytics

  • When: June 28-30, 2017

  • Where: Bank of Finland & Arcada, Helsinki, Finland

Keynote speakers

  • Daniel Gros (Director of Centre for European Policy Studies)

  • Ross Levine (Professor at Haas School of Business, UC Berkeley)

  • Erkki Liikanen (Governor of Bank of Finland)


Organizing committee

Tuomas Peltonen (European Systemic Risk Board)
Peter Sarlin (RiskLab at Arcada & 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)
Prasanna Gai (The University of Auckland)
Co-Pierre Georg (Bundesbank & University of Cape Town)
Esa Jokivuolle (Bank of Finland)
Iman van Lelyveld (DNB & Free University Amsterdam)
Ross Levine (Haas School of Business, UC Berkeley)
Camelia Minoiu (IMF and Wharton School at UPenn)
José-Luis Peydró (Universitat Pompeu Fabra)
Jouko Vilmunen (Bank of Finland)


Workshop, Wednesday 28 June 2017

Bank of Finland, Snellmaninkatu 6, 00170 Helsinki


Registration & coffee


Opening remarks: Marja Nykänen, Member of the Board, Bank of Finland


Workshop session 1 – Regulation and financial stability analysis
chair: Esa Jokivuolle

Ricardo Correa, Keshav Garud, Juan M. Londonoy, and Nathan Mislang
Sentiment in central bank’s financial stability reports

Hannes Köster and Matthias Pelster
Financial penalties and the systemic risk of bank

Paolo Giudici and Laura Parisi
Bail-in or Bail-out? Default probability contagion in the European banking System




Workshop session 2 – Banking
chair: Peter Sarlin

Gábor Fukker
Harmonic distances, centralities and systemic stability in heterogeneous interbank networks

Marco lo Duca, A. Koban, C. Detken, B. Klaus, T. Peltonen, M. Basten, P. Kusmierczyk and J. H. Lang
A new database for financial crises in European countries



Day 1, Thursday 29 June 2017

Arcada University of Applied Sciences, Jan-Magnus Janssonin aukio 1, 00560 Helsinki


Registration & coffee


Conference opening: Kaj-Mikael Björk, Head of Department, Arcada University of Applied Sciences


Session 1 – Global Financial Crisis
chair: Tuomas Peltonen

Seung Jung Lee, Kelly E. Posenau and Viktors Stebunovsz
The Anatomy of Financial Vulnerabilities and Crises

Marco Bardoscia, Paolo Barucca, Adam Brinley Codd and John Hill
The decline of solvency contagion

Jan Hannes Lang and Peter Welz
Semi-structural credit gap estimation




Session 2 – Beyond banking
chair: Katja Taipalus

Frank Hespeler
Monitoring Interconnectedness in the Money Market Fund Industry

Naoise Metadjer and Kitty Moloney
Liquidity Analysis of Bond and Money Market Funds

Paolo Barucca, Tahir Mahmood and Laura Silvestri
Empirical analysis of common asset holdings


Lunch & poster session 1


Keynote: Daniel Gros, Director of Centre for European Policy Studies


Session 3 – Markets and market infrastructure
chair: Matti Viren

Pawel Fiedor, Sarah Lapschies and Lucia Orszaghova
Networks of central counterparties in the EU-wide interest rate derivatives market

Marco D’Errico, Tuomas Peltonen and Tarik Roukny
A new toolkit for monitoring and managing systemic risk based on excess and compression

Jean-Charles Garibal, Patrick Kouontchou, Bertrand Maillet and Sessi Tokpavi
What is a SIFI? On the Systemic Importance of Financial Institutions as determined by an Extended CAPM with Systemic Risk

Day 2, Friday 30 June 2017

Arcada University of Applied Sciences, Jan-Magnus Janssonin aukio 1, 00560 Helsinki


Registration & coffee


Keynote: Ross Levine, Professor at Haas School of Business, UC Berkeley


Session 4 – Financial stability implications of low interest rates
chair: Karko Kauko

Andre Lucas, Federico Nucera, Julia Schaumburg and Bernd Schwaab
Do negative interest rates make banks less safe?

Stefan Kerbl and Michael Sigmund
Negative Interest Rates: Forecasting Banks’ Profitability in a New Environment

Benjamin Kay
Implications of Central Banks’ Negative Policy Rates on Financial Stability

Gregory J. Cohen, Seung Jung Leey and Viktors Stebunovsz
Limits to Monetary Policy Transmission at the Zero Lower Bound and Beyond: The Role of Nonbanks


Lunch & poster session 2


Keynote: Erkki Liikanen, Governor, Bank of Finland


Session 5 – Interconnectedness in the banking system
chair: Esa Jokivuolle

Anne-Caroline Hüser and Christoffer Kok
Systemic risk accounting

Alejandro de la Concha, Serafin Martinez-Jaramillo and Christian Carmona
Multiplex financial networks: revealing the level of interconnectedness in the banking system

Mark D. Flood, Dror Y. Kenett, Robin L. Lumsdaine and Jonathan K. Simon
The Complexity of Bank Holding Companies. A Topological Approach


Closing remarks & refreshments


End of conference

Poster sessions

Poster session 1

Francesco Lamperti, Andrea Roventini and Amir Sani
Agent-Based Model Calibration using Machine Learning Surrogates

Mohamed Bakoush, Enrico H. Gerding and Simon Wolfe
Margin Procyclicality and Systemic Risk

Thomas Forss
News-sentiment networks as a risk indicator

Poster session 2

Thiago Christiano Silva, Michel Alexandre da Silva and Benjamin Miranda Tabak
Systemic Risk in Financial Systems: a feedback approach

Christoph Siebenbrunner
Clearing algorithms and network centrality

Antoine Mandel and Amir Sani
An Automatic Algorithm to Manage the Forecast Combination Puzzle