2017 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics
28-30 June 2017
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 (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
Highlights
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)
Organizers
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)
Schedule
Workshop, Wednesday 28 June 2017
Bank of Finland, Snellmaninkatu 6, 00170 Helsinki
13:00–13:30
Registration & coffee
13:30–13:45
Opening remarks: Marja Nykänen, Member of the Board, Bank of Finland
13:45–15:15
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
15:15–15:45
Refreshments
15:45–17:15
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
Evening
Get-together
Day 1, Thursday 29 June 2017
Arcada University of Applied Sciences, Jan-Magnus Janssonin aukio 1, 00560 Helsinki
8:00–9:00
Registration & coffee
9:00–9:15
Conference opening: Kaj-Mikael Björk, Head of Department, Arcada University of Applied Sciences
9:15–10:45
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
10:45–11:15
Refreshments
11:15–12:45
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
12:45–14:00
Lunch & poster session 1
14:00–15:00
Keynote: Daniel Gros, Director of Centre for European Policy Studies
15:00–16:30
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
8:00–9:00
Registration & coffee
9:00–10:00
Keynote: Ross Levine, Professor at Haas School of Business, UC Berkeley
10:00–12:00
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
12:00–13:15
Lunch & poster session 2
13:15–14:15
Keynote: Erkki Liikanen, Governor, Bank of Finland
14:15–15:45
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
15:45
Closing remarks & refreshments
16:30
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
Papers
TBA
Evening
Get-together