Network models, financial stability, Banco de México

Banco de México-University of Zurich-Bank of Canada-Journal of Financial Stability, 2017 (PDF)

Network models and stress testing for financial stability


Tuesday 26th September 2017
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)

Wednesday 27th September 2017
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)

Poster Exhibition
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)