Submission deadline: 4 May 2018
Call for Papers
Joint Banco de Portugal/European Central Bank/European Systemic Risk Board Workshop 2018
Advances in systemic risk analysis: theoretical and empirical approaches focussing on a cross-country perspective
4 July 2018, Lisbon
Past financial crises have demonstrated that the materialisation of systemic risk can have a strong impact on financial stability and the real economy. Consequently, efforts have been made by both national and international authorities to establish sound macroprudential policy frameworks. Quantitative methods for assessing the emergence of systemic risks are an essential element of such frameworks, helping to inform and underpin macroprudential policy decisions.
This workshop, hosted by Banco de Portugal and organised jointly with the ECB’s Macroprudential Analysis Group and the ESRB’s Analysis Working Group, provides a platform for academics and policymakers to present and discuss recent advances in systemic risk modelling. Hence, participants can look forward to an exchange of views on state-of-the-art models and tools for measuring and analysing macroprudential risk, focussing in particular on the practical applicability of such tools for policy-making institutions.
We welcome contributions on theoretical and empirical approaches for identifying and measuring systemic risks that involve a cross-country perspective. More specifically, the following topics are of interest:
- Models for estimating the equilibrium level of credit in the economy, including semi structural models, unobserved components models and state-space methods
- Empirical models for assessing cyclical risks, including cointegration models, early-warning models, VAR models and approaches for measuring the financial cycle
- Structural approaches for assessing systemic risk, including micro-founded models and approaches for evaluating the sustainability of private debt
Contributions are welcome from those working in a member institution of the Eurosystem or the ESRB, as well as from academic researchers. Interested authors should submit their contributions (i.e. a full paper or an extended abstract) to:
The deadline for submissions is 18:00 CET on 4 May 2018. Authors of accepted papers will be notified by 31 May 2018.
Please note that travel and accommodation expenses will not be reimbursed.
- Carsten Detken (European Central Bank)
- Piotr Kusmierczyk (European Systemic Risk Board)
- João Oliveira (Banco de Portugal)
- Tuomas Peltonen (European Systemic Risk Board)
- Ana Pereira (Banco de Portugal)
- Mara Pirovano (European Central Bank)
- Ana Margarida Ramos (Banco de Portugal)
- Thomas Schepens (Nationale Bank van België/Banque Nationale de Belgique)