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Network models, stress testing and other tools for financial stability monitoring and macroprudential policy design and implementation
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Wednesday 11th November 2015
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| 9:00-9:05 |
Welcome note
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Fernando Tenjo Galarza (General Director, CEMLA) |
| 9:05-9:20 |
Special opening address |
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Manuel Ramos Francia (Deputy Governor, Banco de México) |
| 9:20-10:00 |
 Keynote session
Professor Sanjeev Goyal (University of Cambridge)
Financial linkages, portfolio choice and systemic risk |
| 10:00–11:30 |
Session 1. Macroprudential policy design
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Chair
Pascual O’Dogherty (Financial Stability General Director, Banco de México)
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Taming the leverage cycle (Presentation) |
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Christoph Aymanns (University of Oxford), Fabio Caccioli (University College London), J. Doyne Farmer (University of Oxford), Vincent W.C. Tan (University of Oxford) |
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Discussion: Taming the leverage cycle |
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Discussant
Gabriel Bruneau (Bank of Canada) |
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Beyond the credit gap: quantity and price of risk indicators for macroprudential policy
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Oliver Bush (Bank of England), Rodrigo Guimaraes (Bank of England), Hanno Stremmel (Otto Beisheim School of Management) |
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Discussant
Bill B. Francis (Rensselaer Polytechnic Institute) |
| 11:45-13:15 |
Session 2. Financial interconnectedness and systemic risk
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Chair
Raúl Morales Reséndiz (CEMLA)
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The missing links: A global study on uncovering financial network structure from partial data
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Kartik Anand (Deutsche Bundesbank), Iman van Lelyveld (De Netherlandsche Bank), Ádám Banai (Magyar Nemzeti Bank), Sören Friedrich (Deutsche Bundesbank), Rodney Garratt (UC Santa Barbara), Grzegorz Halaj (European Central Bank), Bradley Howell (Bank of Canada), Ib Hansen (Danmarks Nationalbank), Serafín Martínez Jaramillo (Banco de México), Hwayun Lee (Bank of Korea), José Luis Molina-Borboa (Banco de México), Stefano Nobili (Banca d’Italia), Sriram Rajan (Office of Financial Research), Dilyara Salakhova (Banque de France), Thiago Christiano Silva (Banco Central do Brasil), Laura Silvestri (Bank of England), Sergio Rubens Stancato de Souza (Banco Central do Brasil) |
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Discussant
Stefano Battiston (University of Zurich) |
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Interconnectedness as a source of uncertainty in systemic risk
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Tarik Roukny (Universite Libre de Bruxelles), Stefano Battiston (University of Zurich), Joseph Stiglitz (Columbia University) |
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Discussants
Valerio Volpati (International School for Advanced Studies) |
| 14:15-15:45 |
Session 3. Contagion risk in financial networks
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Chair
Serafín Martínez Jaramillo (Banco de México) |
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Passing the hot potato: how does credit risk flow in the CDS market?
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Stefano Battiston (University of Zurich), Marco d'Errico (University of Zurich), Tuomas A. Peltonen (European Systemic Risk Board), Martin Scheicher (European Central Bank) |
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Discussant
Youngna Choi (Montclair State University) |
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Network linkages to predict bank distress (Presentation) |
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Peter Sarlin (Hanken School of Economics and RiskLab Finland), Tuomas A. Peltonen (European Systemic Risk Board), Andreea Piloiu (University of Lausanne) |
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Discussion: Network linkages to predict bank distress |
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Discussant
Christoph Siebenbrunner (Oesterreichische Nationalbank) |
| 16:00-18:15 |
Session 4. Structural properties of financial networks
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Chair
Camelia Minoiu (International Monetary Fund)
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Default events and evolution of CDS market structure
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Grzegorz Halaj (European Central Bank), Tuomas A. Peltonen (European Systemic Risk Board), Martin Scheicher (European Central Bank) |
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Discussant
Yuji Sakurai (UCLA) |
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Measures of financial network complexity a topological approach
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Mark D. Flood (Office of Financial Research), Jonathan Simon (University of Iowa), Mathew Timm (Bradley University) |
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Discussion: Measures of financial network complexity a topological approach |
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Discussant
Serafín Martínez Jaramillo (Banco de México)
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Identifying central bank liquidity super-spreaders in interbank funds networks |
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Carlos León (Banco de la República de Colombia), Clara Machado (Banco de la República de Colombia), Miguel Sarmiento (Banco de la República de Colombia) |
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Discussion: Identifying central bank liquidity super-spreaders in interbank funds networks |
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Discussant
Simone Giansante (University of Bath) |
| 19:30 |
Keynote session
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Professor Stefano Battiston (SNF Professor, University of Zurich) |
