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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

Call for paper information