2015 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics

Highlights

What: Conference on Systemic Risk Analytics

When: September 24-25, 2015

Where: Arcada, Helsinki, Finland

Keynote speakers:

Stefano Battiston (University of Zurich) Jon Danielsson (London School of Economics) Philipp Hartmann (European Central Bank & CEPR) Erkki Liikanen (Bank of Finland)

In the aftermath of the global financial crisis, there is an acute interest in analytics for early identification and assessment of systemic risk and vulnerabilities that may eventually lead to systemic financial crisis. This conference brings together most recent advances on computational tools for systemic risk identification and assessment. The key aim of the conference is to 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 conference covers policy and practitioner-oriented research related to systemic risk measurement, including interdisciplinary empirical and theoretical work on system-wide macro-financial risks. We solicit contributions covering a broad range of topics related to systemic risk analytics and macroprudential policy, particularly (but not limited to):

• Systemic risk and early-warning indicators and models
• Network analysis, contagion models and spillover models
• Macro stress-testing, scenario analysis and simulation
• Coinciding systemic financial stress measures
• Measures of systemically important financial institutions
• Visualization of systemic risk related data and models
• Uncertainty in systemic risk modeling and measurement
• Data innovations, challenges, gaps and quality
• Mapping analytics to macroprudential policy and regulation

Program and venue

The conference will take place on September 24-25, 2015 at Arcada. The conference will be single track with four keynotes and a poster session, as well as a pre-conference workshop on September 23.

Special issues

In line with the interdisciplinary focus of the conference, we have post-conference special issues in one finance and one machine learning journal. Presenters are encouraged to submit their papers to special issues in Quantitative Finance and Neurocomputing.

Submission instructions

Submission deadline for papers was 22 July, 2015.

Organizing committee:

Tuomas Peltonen (European Systemic Risk Board)

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

Katja Taipalus (Bank of Finland)

Program committee:

Stefano Battiston (University of Zurich)

Kaj-Mikael Björk (RiskLab at Arcada)

Elena Carletti (Bocconi University, ASC)

Mark Flood (Office of Financial Research at US Treasury)

Sam Langfield (European Systemic Risk Board)

Camelia Minoiu (International Monetary Fund)

José-Luis Peydró (Universitat Pompeu Fabra, ASC)

Bernd Schwaab (European Central Bank)

David Thesmar (HEC Paris, ASC)

Jouko Vilmunen (Bank of Finland)