9:00-9:15 Opening remarks
Pascual O’Dogherty (Financial Stability General Director, Banco de México)
9:15-10:00 Keynote session
Professor Stephen Cecchetti (Brandeis University)
10:00-11:30

Session I. Financial Networks: systemic risk and new methods
Chair: Virginie Traclet (Model Development and Research Division Director, Bank of Canada)

The Global Banking Network in the Aftermath of the Crisis: Is There Evidence of De-globalization?
Haonan Zhou (International Monetary Fund)
Discussant: Robin Lumsdaine (American University)

The Complexity of Bank Holding Companies: A Topological Approach
Robin Lumsdaine (American University)
Discussant: Marco van der Leij (University of Amsterdam)

11:45-14:00

Session II. Financial Networks: systemic risk and new methods II

Collateral Unchained: Rehypothecation networks, complexity and systemic effects
Mauro Napoletano (French Economic Observatory - Paris Institute of Political Studies)
Discussant: Dilyara Salakhova (Bank of France)

Retrieving implied financial networks from bank balance-sheet and market data
Jose Fique (Bank of Canada)
Discussant: Mauro Napoletano (French Economic Observatory - Paris Institute of Political Studies)

Variance Decomposition Networks: Potential Pitfalls and a Simple Solution (Presentation)
Jorge Chan-Lau (International Monetary Fund)
Discussant: Serafin Martinez Jaramillo (Banco de México)

15:15-17:30

Session III. Liquidity
Chair: Juan Pablo Graf (Financial Stability Director, Banco de México)

Effects of the International Regulatory Reforms over Market Liquidity of Mexican Sovereign Debt
Alberto Romero (Banco de México)
Discussant: Sinem Hacioglu (Bank of England)

Vulnerable Asset Management? The Case of Mutual Funds
Christoph Fricke (Federal Bank of Germany)

Solvency and wholesale funding cost interactions at UK banks
Sinem Hacioglu (Bank of England)
Discussant: Christoph Fricke (Federal Bank of Germany)

9:00-11:15

Session IV. Stress Testing
Chair: Fabrizio López Gallo Dey (Financial System Risk Analysis Director, Banco de México)

Incorporating Funding Costs In a Top-Down Stress Test
Søren Korsgaard (National Bank of Denmark)

Economic Forecasting with an Agent-based Model
Sebastian Poledna (International Institute for Applied Systems Analysis)

Robustness of Credit Risk Stress Test Results: Modelling Issues with an Application to Belgium
Patrick Van Roy (National Bank of Belgium)
Discussant: Søren Korsgaard (National Bank of Denmark)

A Framework for Modelling System-Wide Stress Dynamics
Alissa Kleinnijenhuis (University of Oxford)
Discussant: Sofia Priazhkina (Bank of Canada)

11:30-13:45

Session V. Banking
Chair: Calixto López Castañón (Senior Financial Researcher, Banco de México)

The Implied Bail-in Probability from the Contingent Convertible Securities Market
Masayuki Kazato (Bank of Japan)
Discussant: Tjeerd M. Boonman (Banco de México)

What drives pricing in interbank markets?
Christoph Siebenbrunner (University of Oxford)
Discussant: Calixto Lopez Castañón (Banco de México)

What do almost 20 years of micro data and two crises say about the relationship between central bank and interbank market liquidity? Evidence from Italy
Massimiliano Affinito (Bank of Italy)
Discussant: Ruslán Gómez Nesterkín (Banco de México)

15:00-17:15

Session VI. Common assets contagion
Chair: Serafin Martinez Jaramillo (Senior Financial Researcher, Banco de México)

Quantification of systemic risk from overlapping portfolios in the financial system
Stefan Thurner (Complexity Science Hub Vienna, Medical University Vienna)
Discussant: Stefano Battiston (University of Zurich)

Systemic Risk and Vulnerabilities of Bank Networks
Alexander Becker (Boston University)
Discussant: Sebastian Poledna (International Institute for Applied Systems Analysis)

Minimization of Systemic Risk as an Optimal Network Reorganization Problem - The Case of Overlapping Portfolio Networks in the European Government Bond Market
Anton Pichler (Vienna University of Economics and Business)
Discussant: Jorge Chan-Lau (International Monetary Fund)

17:15-17:30

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

Incorporating Funding Costs in Top-down Stress Tests
Søren Korsgaard (National Bank of Denmark)
Vulnerable Asset Management? The Case of Mutual Funds
Christoph Fricke (Federal Bank of Germany)
Economic Forecasting with an Agent-based Model
Sebastian Poledna (International Institute for Applied Systems Analysis)
The Implied Bail-in Probability from the Contingent Convertible Securities Market
Masayuki Kazato (Bank of Japan)