Zoekopties
Home Media Explainers Onderzoek & publicaties Statistieken Monetair beleid De euro Betalingsverkeer & markten Werken bij de ECB
Suggesties
Sorteren op
Niet beschikbaar in het Nederlands
  • 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

Onze website maakt gebruik van cookies

We gebruiken functionele cookies om voorkeuren van gebruikers op te slaan, analytische cookies om de werking van de website te verbeteren en cookies van derden die zijn ingesteld door in de website geïntegreerde externe diensten.

U kunt deze cookies accepteren of weigeren. Voor meer informatie of voor het herzien van uw voorkeuren over cookies en serverlogs die we gebruiken, kunt u hier terecht:

Onze privacyverklaring lezen

Nadere informatie over ons gebruik van cookies