- 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
Lisbon, Wednesday, 4 July 2018
Banco de Portugal
Rua do Comércio, 148 (1100-150 Lisboa)
Participation is by invitation only.
Programme
All times are local.
- 8:30
-
Registration and coffee
- 9:00
-
Opening remarks
Ana Cristina Leal, Head of the Financial Stability Department, Banco de Portugal
- 9:15
-
Session 1 – Structural credit models
Chair: Ana Pereira (Banco de Portugal)
Discussant: Federico Maria Signoretti (Banca d’Italia)Structural credit and the macroeconomy
Author: Benedetta Bianchi (Central Bank of Ireland)
Semi-structural credit gap estimation
Authors: Jan Hannes Lang and Peter Welz (European Central Bank)
Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe
Authors: Jorge E. Galán and Javier Mencía (Banco de España)
- 10:30
-
Coffee break
- 10:45
-
Session 2 – Measuring credit cycles and credit excesses
Chair: Ana Margarida Ramos (Banco de Portugal)
Discussants: Elena Banu (European Systemic Risk Board) and Heleen Hofmans (Bank of England)Credit cycles and financial crises in Europe
Authors: João Gouveia de Oliveira and Ana Pereira (Banco de Portugal)
Detecting excessive credit growth: an approach based on structural counterfactuals
Authors: Frieder Mokinski (Deutsche Bundesbank) and Magnus Saß (Freie Universität Berlin)
Identifying excessive credit regimes: a Markov error correction approach
Authors:
- Norbert Metiu
- Leonid Silbermann
- Ursula Vogel
(Deutsche Bundesbank)
Designing an early warning model that does not incorporate ex post knowledge of crisis mechanisms
Authors: Kamil Joński (University of Lodz) and Wojciech Rogowski (Narodowy Bank Polski and Warsaw School of Economics)
- 12:15
-
Session 3 – Composite indicators of cyclical systemic risks
Chair: Carsten Detken (European Central Bank)
Discussant: Marco Lo Duca (European Central Bank)Identifying the real estate cycle: are housing prices enough?
Authors: Elena Banu (European Systemic Risk Board) and Irina Mihai (Banca Naţională a României)
Multivariate logit model controlling for economic fundamentals and systemic risk indicator
Authors: Jan Hannes Lang and Cosimo Izzo (European Central Bank)
Measuring risks to UK financial stability
Authors:
- David Aikman
- Jonathan Bridges
- Stephen Burgess
- Richard Galletly
- Iren Levina
- Cian O’Neill
- Alexandra Varadi
(Bank of England)
- 13:15
-
Lunch
- 14:30
-
Session 4 – Assessing risks from interconnectedness and contagion
Chair: Tuomas Peltonen (European Systemic Risk Board)
Discussant: Nuno Silva (Banco de Portugal)Monitoring indirect contagion
Authors: Rama Cont (Imperial College London) and Eric Schaanning (ETH Zurich)
Interconnected banks and systemically important exposures
Authors:
- Alan Roncoroni (University of Zurich)
- Stefano Battiston (University of Zurich)
- Marco D’Errico (European Systemic Risk Board)
- Grzegorz Halaj (Bank of Canada)
- Christoffer Kok (European Central Bank)
Contagion risk in the euro area interbank network
Authors:
- Giovanni Covi (European Central Bank)
- Mehmet Ziya Gorpe (International Monetary Fund)
- Christoffer Kok (European Central Bank)
- 15:45
-
Floor discussion
Chair: Thomas Schepens (Nationale Bank van België/Banque Nationale de Belgique)
- 16:15
-
End of workshop
- 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
- 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)
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.
Topics
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:
Submissions
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.
Expenses
Please note that travel and accommodation expenses will not be reimbursed.