Advances in systemic risk analysis: theoretical and empirical approaches focussing on a cross-country perspective

Registration and coffee

Opening remarks

Ana Cristina Leal, Head of the Financial Stability Department, Banco de Portugal

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)

Coffee break

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)

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)

Lunch

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)

Floor discussion

Chair: Thomas Schepens (Nationale Bank van België/Banque Nationale de Belgique)

End of workshop