2018 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics

28-30 May 2018

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

Information | Schedule


Recent waves of financial instability have sparked an acute interest in analytics for systemic risk measurement. This fourth annual 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, engineering, 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 themes:

  • Using systemic risk analytics to support macroprudential 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)

Program and venue

The conference will take place on May 29-30, 2018 at the Bank of Finland premises in Helsinki. The conference includes keynotes, presentations and poster sessions, as well as a pre-conference workshop on May 28. The conference is accompanied with a social event for speakers on May 29 that takes place at Bank of Finland’s villa.

Paper submission

Academic papers to be considered for presentation at the conference and workshop should be sent to RMsihteerit@bof.fi by 28 February, 2018. Accepted paper presenters will be notified in due course.

Registration instructions

We welcome academics and experts of the conference topics to participate in the conference. Participation requires pre-registration. More information: RMsihteerit@bof.fi.

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


  • What: Conference on Systemic Risk Analytics

  • When: May 29-30, 2018 preceded by workshop on 28 May, 2018

  • Where: Bank of Finland, Helsinki

Keynote speakers

  • Darrel Duffie (Professor at Stanford University)

  • Andrei Kirilenko (Professor at MIT Sloan & Imperial College)

  • Erkki Liikanen (Governor of Bank of Finland)


Organizing committee
Tuomas Peltonen (European Systemic Risk Board)
Peter Sarlin (Silo.AI and RiskLab at Arcada & Hanken)
Katja Taipalus (Bank of Finland)
Kaj-Mikael Björk (RiskLab at Arcada)

Program committee
Esa Jokivuolle (Bank of Finland) – Programme Committee Chair
Stefano Battiston (University of Zurich)
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)
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 (University of Turku)


Workshop, Monday 28 May 2018

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


Registration & coffee


Opening remarks: Katja Taipalus (Head of Financial Stability and Statistics, Bank of Finland)

Workshop – Session 1
Chair: Kaj-Mikael Björk (Arcada university of Applied Sciences)

Lending standards and output growth
Divya Kirti (International Monetary Fund) – Paper

LTV Limit and Borrower Risk
Nitzan Tzur-Ilan (Bank of Israel and Hebrew University)

Investment strategies of euro area insurers and pension funds: Pro- or counter-cyclical?
Margherita Giuzio (European Central Bank) – Paper
co-author: Linda Fache Rousová


FSB work on vulnerabilities assessment
Jon Frost (Financial Stability Board)


Chair: Peter Sarlin (RiskLab at Arcada & Hanken School of Economics)


Cleveland Fed Systemic Risk Indicator
Simon Kwan (Federal Reserve Bank of San Francisco)


Workshop – Session 2

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
Jérémy Leymarie (University of Orléans) – Paper
co-authors: Denisa Banulescu, Christophe Hurlin, Olivier Scaillet

Identification and assessment of systemic risks in financial networks: Modelling fire sales from regulatory cliff effects
Graeme Cokayne (Danmarks Nationalbank) – Paper
co-author: Andreas Brøgger

Financial Bridges and Network Communities
Erdem Yenerdag (Washington University in St. Louis)
co-authors: Roberto Casarin, Michele Costola



Conference Day 1, Tuesday 29 May 2018

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


Registration & coffee


Conference opening: Marja Nykänen (Member of the Board, Bank of Finland)


Keynote: How regulation and macroprudential policies should respond to changes in the financial landscape?
Erkki Liikanen (Governor, Bank of Finland)




Session 1 – Derivative markets, CCPs and post-trade operations
Chair: Katja Taipalus (Bank of Finland)

Clearinghouse-Five: Determinants of voluntary clearing in European derivatives markets
Pawel Fiedor (Central Bank of Ireland) – Paper

The Demand for Central Clearing: To Clear or Not to Clear, That is the Question
Mario Bellia (Research Center SAFE, Goethe University Frankfurt) – Paper
co-authors: Roberto Panzica, Loriana Pelizzon, Tuomas Peltonen

Multiplex network analysis of the UK OTC derivatives market
Marco Bardoscia (Bank of England) – Paper
co-authors: Ginestra Bianconi, Gerardo Ferrara

A Macroprudential View on Portfolio Compression
Marco D’Errico (European Systemic Risk Board)
co-authors: Tuomas Peltonen, Tarik Roukny




Keynote: Post-Crisis Bank Regulations and Financial Market Liquidity
Darrell Duffie (Professor, Stanford University’s Graduate School of Business)




Session 2 – Fire sales, liquidity and systemic risk
Chair: Tuomas Peltonen (ESRB)

Taking regulation seriously: Fire sales under solvency and liquidity constraints
Caterina Lepore (Bank of England)
co-authors: Jamie Coen, Eric Schaanning

Can Swing Pricing Prevent Mutual Fund Runs and Failures?
Marko Weber (Columbia University) – Paper
co-authors: Agostino Capponi, Paul Glasserman

Monitoring Indirect Contagion
Eric Schaanning (ETH Zurich and Norges Bank) – Paper
co-author: Rama Cont

Do interbank markets price systemic risk?
Christoph Siebenbrunner (University of Oxford) – Paper
co-author: Michael Sigmund

Conference Day 2, Wednesday 30 May 2018

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


Registration & coffee


Session 3 – Market and funding liquidity
Chair: Esa Jokivuolle (Bank of Finland)

Illiquidity Spirals in Coupled Over-the-Counter Markets
Co-Pierre Georg (Deutsche Bundesbank, University of Cape Town) – Paper
co-authors: Christoph Aymanns, Benjamin Golub

Fire-sale channels, portfolio overlap networks and the credit spread puzzle
Dieter Wang (Vrije Universiteit Amsterdam, De Nederlandsche Bank)
co-authors: Julia Schaumburg, Iman van Lelyveld

Agent-based model of system-wide implications of funding risk
Grzegorz Hałaj (European Central Bank, Bank of Canada) – Paper


Refreshments & poster session


Fragility and Inefficient Fire Sales in Decentralized Asset Markets
Ehsan Ebrahimy (International Monetary Fund) – Paper

Multilayer Aggregation with Statistical Validation: Application to Investor Networks
Kestutis Baltakys (Tampere University of Technology) – Paper
co-authors: Juho Kanniainen, Frank Emmert-Streib

An Anatomy of the euro area Interest Rate Swap Market
Martin Scheicher (European Central Bank)
co-authors: Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon


Session 4 – Stress testing
Chair: Helinä Laakkonen (Bank of Finland)

Modeling your stress away
Viktors Stebunovs (Federal Reserve Board) – Paper
co-author: Friederike Niepmann

Reconstructing and Stress Testing Credit Networks
Amanah Ramadiah (University College London) – Paper
co-authors: Fabio Caccioli, Daniel Fricke




Keynote: Fintech, Blockchain and Crypto Assets
Andrei Kirilenko (Director, Centre for Global Finance and Technology at the Imperial College Business School)


Session 5 – CDS market and systemic risk
Chair: Paavo Miettinen (Bank of Finland)

Crises in the modern financial ecosystem
Giovanni di Iasio (European Central Bank) – Paper
co-author: Zoltan Pozsar

Disastrous Defaults
Sarah Mouabbi (Banque de France)
co-authors: Christian Gouriéroux, Alain Monfort, Jean-Paul Renne


Closing remarks, networking & refreshments


End of conference