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Banco de México, CEMLA, University of Zurich and Journal of Financial Stability, 2015 (PDF)

Network models, stress testing and other tools for financial stability monitoring and macroprudential policy design and implementation

Wednesday 11th November 2015


Welcome note

Fernando Tenjo Galarza (General Director, CEMLA)
9:05-9:20 Special opening address
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

Session 1. Macroprudential policy design

Pascual O’Dogherty (Financial Stability General Director, Banco de México)

Taming the leverage cycle (Presentation)
Christoph Aymanns (University of Oxford), Fabio Caccioli (University College London), J. Doyne Farmer (University of Oxford), Vincent W.C. Tan (University of Oxford)
Discussion: Taming the leverage cycle
Gabriel Bruneau (Bank of Canada)

Beyond the credit gap: quantity and price of risk indicators for macroprudential policy

Oliver Bush (Bank of England), Rodrigo Guimaraes (Bank of England), Hanno Stremmel (Otto Beisheim School of Management)
Bill B. Francis (Rensselaer Polytechnic Institute)

Session 2. Financial interconnectedness and systemic risk

Raúl Morales Reséndiz (CEMLA)

The missing links: A global study on uncovering financial network structure from partial data

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)
Stefano Battiston (University of Zurich)

Interconnectedness as a source of uncertainty in systemic risk

Tarik Roukny (Universite Libre de Bruxelles), Stefano Battiston (University of Zurich), Joseph Stiglitz (Columbia University)
Valerio Volpati (International School for Advanced Studies)

Session 3. Contagion risk in financial networks

Serafín Martínez Jaramillo (Banco de México)

Passing the hot potato: how does credit risk flow in the CDS market?

Stefano Battiston (University of Zurich), Marco d'Errico (University of Zurich), Tuomas A. Peltonen (European Systemic Risk Board), Martin Scheicher (European Central Bank)
Youngna Choi (Montclair State University)
Network linkages to predict bank distress (Presentation)
Peter Sarlin (Hanken School of Economics and RiskLab Finland), Tuomas A. Peltonen (European Systemic Risk Board), Andreea Piloiu (University of Lausanne)
Discussion: Network linkages to predict bank distress
Christoph Siebenbrunner (Oesterreichische Nationalbank)

Session 4. Structural properties of financial networks

Camelia Minoiu (International Monetary Fund)

Default events and evolution of CDS market structure

Grzegorz Halaj (European Central Bank), Tuomas A. Peltonen (European Systemic Risk Board), Martin Scheicher (European Central Bank)
Yuji Sakurai (UCLA)

Measures of financial network complexity a topological approach

Mark D. Flood (Office of Financial Research), Jonathan Simon (University of Iowa), Mathew Timm (Bradley University)
Discussion: Measures of financial network complexity a topological approach

Serafín Martínez Jaramillo (Banco de México) 

Identifying central bank liquidity super-spreaders in interbank funds networks
Carlos León  (Banco de la República de Colombia), Clara Machado (Banco de la República de Colombia), Miguel Sarmiento (Banco de la República de Colombia)
Discussion: Identifying central bank liquidity super-spreaders in interbank funds networks
Simone Giansante (University of Bath)

Keynote session

Professor Stefano Battiston (SNF Professor, University of Zurich)


Thursday 12th November 2015

09:00-09:40 Keynote session
Professor Xavier Freixas (Universidad Pompeu Fabra)
Inefficient credit allocation: what are the regulatory challenges?

Session 5. Macroprudential policy evaluation


Fabrizio López Gallo Dey (Financial System Risk Analysis Director, Banco de México)

How does macroprudential regulation change bank credit supply? (Presentation)
  Anil K. Kashyap (University of Chicago), Dimitrios P. Tsomocos (University of Oxford), Alexandros P. Vardoulakis (Board of Governors of the Federal Reserve System)
Iftekhar Hasan (Fordham University & Editor of the Journal of Financial Stability)
  Evaluating the net benefits of macroprudential policy: A cookbook
Nicolas Arregui (International Monetary Fund), Jaromír Beneš (International Monetary Fund), Ivo Krznar (International Monetary Fund), Srobona Mitra (International Monetary Fund), André O. Santos (International Monetary Fund)
Francisco Vazquez-Grande (Federal Reserve Board)

Session 6. Stress Testing

Calixto López Castañon (Banco de México)

A system-wide stress testing of the credit default swap market

Jill Cetina (Office of Financial Research), Mark Paddrik (Office of Financial Research), Sriram Rajan (Office of Financial Research)

Fabio Caccioli (University College London)

Quantifying contagion risk in funding markets: A model-based stress-testing approach

Kartik Anand (Deutsche Bundesbank), Céline Gauthier (Université du Québec), Moez Souissi (International Monetary Fund)
Discussion: Quantifying contagion risk in funding markets: A model-based stress-testing approach
Jessie Jiaxu Wang (Arizona State University)

Session 7. Systemic risk and SIFIs


Stefano Battiston (University of Zurich)

  The intrafirm complexity of systemically important financial institutions
  R.L. Lumsdaine (American University), D.A.N. Rockmore (Dartmouth College), N. Foti (University of Washington), G. Leibon (Dartmouth College), J.D. Farmer (University of Oxford)
Thomas Breuer (FH Vorarlberg)

Systemic risk-taking in response to monetary and liquidity policy (Presentation)

Joao Barata Ribeiro Blanco Barroso (Banco Central do Brasil), Solange Guerra (Banco Central do Brasil), Sergio Rubens Stancato de Souza (Banco Central do Brasil)
Giulia Provenzano (University Jaume I)

Session 8. Financial stability

Iftekhar Hasan (Fordham University & Journal of Financial Stability)

Is trouble brewing for EMEs?
Manuel Ramos Francia (Banco de México), Santiago Garcia Verdú (Banco de México)
Camelia Minoiu (International Monetary Fund)
Strategic complementarity in banks' funding liquidity choices and financial stability
André Silva (City University London)
Discussion: Strategic complementarity in banks' funding liquidity choices and financial stability
Thomas Eisenbach (Federal Reserve Bank of New York)

The macroeconomic relevance of credit flows: An exploration of U.S. data

Alexander Herman (International Monetary Fund), Deniz Igan (International Monetary Fund), Juan Solé (International Monetary Fund)
Mariano Beguerisse Díaz (Imperial College London)

Closing remarks

Iftekhar Hassan (Professor of finance, Fordham University & Managing editor, Journal Financial Stability)
Fernando Tenjo Galarza (General Director, CEMLA)


Poster Exhibition

Lucia Alessi (ECB)

Identifying excessive credit growth and leverage (Presentation)

Gabriel Bruneau (Bank of Canada)

Housing market dynamics and macroprudential Policy

Youngna Choi (Montclair University)

Financial instability contagion: modeling and data calibration

Christoph Siebenbrunner (ONB)

Quantifying the importance of different contagion channels as sources of systemic risk

Yuji Sakurai (UCLA)

A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets: Implications of CVA for financial stability

Simone Giansante (Bath University)

Prediction of bank failures from systemic risk in a model of interbank networks

Fernando Pérez Cervantes (Banco de México)

Transport network centrality as a precursor of growth: Evidence from the United States 1840-1900


The organizers appreciate the support of the European FET project SIMPOL no. 610704