- Joint Česká národní banka/European Central Bank/European Systemic Risk Board Workshop 2019
Sources of structural systemic risk in the financial system: identification and measurement
Wednesday, 3 July 2019
Česká národní banka Congress Centre
Senovážné náměstí 30, Prague 1
Participation is by invitation only.
Programme
All times are local.
- 8:30
-
Registration and coffee
- 9:00
-
Opening remarks
Tomáš Nidetzký, Deputy Governor, Česká národní banka
- 9:15
-
Session 1 – Contagion and interconnectedness
Chair: Ianna Yordanova, Danmarks Nationalbank
Contagion accounting
Presenter: Anne-Caroline Hüser, Goethe University Frankfurt/Deutsche Bundesbank
Co-authors:
- Iñaki Aldasoro, Bank for International Settlements
- Christoffer Kok, European Central Bank
Systemic risk: far beyond direct links
Presenter: Vitor Oliveira, Banco de Portugal
Co-author: Nuno Azevedo, Banco de Portugal
Economic shocks, financial contagion and systemic risk in the euro area
Presenter: Gabriele Torri, European Central Bank
Co-authors:
- Mattia Montagna, European Central Bank
- Giovanni Covi, European Central Bank
Discussant: Martín Saldías, European Central Bank
- 10:45
-
Coffee break
- 11:00
-
Session 2 – Sources of systemic risk in the non-banking sector
Chair: Petr Jakubik, European Insurance and Occupational Pensions Authority
Insurers’ use of derivatives: too low?
Presenter: Elisa Letizia, European Central Bank
Co-author: Linda Fache Rousová, European Central Bank
Interconnections between the French asset management sector and the rest of the French financial system
Presenter: Dilyara Salakhova, Banque de France
Co-authors:
- Kheira Benhami, Autorité des Marchés Financiers
- Caroline Le Moign, Autorité des Marchés Financiers
- Alexandre Vinel, Directorate-General of the French Treasury
Systemicness and vulnerability of banks and funds in the euro area
Presenter: Spyros Palligkinis, European Central Bank
Co-authors:
- Harun Mirza, European Central Bank
- Diego Moccero, European Central Bank
- Cosimo Pancaro, European Central Bank
Discussant: Marco D’Errico, European Systemic Risk Board
- 12:30
-
Lunch
- 14:00
-
Keynote address
Wolf Wagner, Rotterdam School of Management/Centre for Economic Policy Research
- 14:45
-
Session 3 – Structural risks in the banking sector
Chair: Dilan Ölcer, Sveriges Riksbank
Bank complexity and bank leverage: a complex relationship
Presenter: Justine Pedrono, Banque de France/Autorité de Contrôle Prudentiel et de Régulation
Co-authors:
- Matthieu Bussière, Banque de France
- Baptiste Meunier, Banque de France
Systemic liquidity shortfall: A macroprudential monitoring indicator of liquidity risk
Presenter: Ulrich Krüger, Deutsche Bundesbank
Co-authors:
- Christoph Roling, Deutsche Bundesbank
- Leonid Silbermann, Deutsche Bundesbank
- Lui-Hsian Won, Deutsche Bundesbank
Credit risk analysis of bank corporate lending in the euro area using two–mode networks
Presenter: Martín Saldías, European Central Bank
Co-authors:
- Hannah Hempell, European Central Bank
- Tobias Herbst, European Central Bank
- Charalampos Kouratzoglou, European Central Bank
Discussant: Simona Malovaná, Česká národní banka
- 16:15
-
Closing remarks
- 16:30
- End of workshop
Submission deadline: 3 May 2019
Call for Papers
Joint Česká národní banka/European Central Bank/European Systemic Risk Board Workshop 2019
Sources of Structural Systemic Risk in the Financial System: Identification and Measurement
3 July 2019, Prague
On 3 July 2019 Česká národní banka will host a workshop on “Sources of structural systemic risk in the financial system: identification and measurement”, organised jointly with the ECB’s Macroprudential Analysis Group and the ESRB’s Analysis Working Group.
Preventing and mitigating systemic risk is a key objective for macroprudential authorities. The structural dimension of systemic risk encompasses characteristics of the financial sector that can make it more vulnerable to adverse financial shocks and amplify their effects. Structural systemic risks may arise from factors such as interconnectedness among financial institutions through direct and indirect exposures, moral hazard and misaligned incentives, or banking sector size and concentration. Quantitative methods for identifying and measuring structural systemic risks are crucial to inform and guide macroprudential policy decisions.
Topics
This workshop aims to create a platform for academics and policymakers to present and discuss novel approaches to identifying and measuring structural systemic risk. Submissions of papers based on either theoretical or empirical approaches are encouraged.
Submissions are invited on, but not limited to, the following topics:
- methods for the assessment of the direct and indirect interconnectedness of financial institutions;
- methods for the assessment of structural systemic risks stemming from the non-bank financial sector, the real economy and the external sector;
- operational tools for the monitoring of structural systemic risk;
- methods for the assessment of structural systemic risks stemming from the sovereign-bank nexus and non-performing loans;
- risks related to changes in the structure of the banking sector, including banks’ business models;
- interaction between structural risks and other risks (e.g. cyclical risk).
Submissions
Contributions are welcome from authors from all member institutions of the Eurosystem and the ESRB as well as from academia. The workshop is an opportunity to exchange views on state-of-the-art models and tools for macroprudential risk analysis and assessment, with a particular focus on the practical applicability of tools for policymaking institutions.
Authors are invited to submit their contributions (full papers or extended abstracts) by 3 May 2019 to [email protected]. Authors of accepted papers will be notified by 31 May 2019.
Expenses
Please note that travel and accommodation expenses will not be reimbursed by the organisers.
Organising committee
- Carsten Detken (European Central Bank)
- Hannah Hempell (European Central Bank)
- Piotr Kusmierczyk (European Systemic Risk Board)
- Simona Malovaná (Česká národní banka)
- Tuomas Peltonen (European Systemic Risk Board)
- Mara Pirovano (European Central Bank)
- Marek Rusnák (European Central Bank)
- Martín Saldías (European Central Bank)
- Thomas Schepens (Nationale Bank van België/Banque Nationale de Belgique)
- Shirley Simmons-Nocca (European Systemic Risk Board)