«Cambridge Centre for Risk Studies Wednesday, 9 September 2015 FINANCIAL RISK AND NETWORK THEORY CONFERENCE Cambridge Centre for Risk Studies ...»
Cambridge Centre for Risk Studies
Wednesday, 9 September 2015
Cambridge Centre for Risk Studies
University of Cambridge Judge Business School
Cambridge, CB2 1AG
The Cambridge Centre for Risk Studies acknowledges the generous support provided for its
research by the following organisations:
Wednesday, 9 September 2015 Contents Programme Agenda 4
• Pre-Conference Agenda, 8 September 4
• Conference Agenda, 9 September 5 Seminar Information 8 Dining Information 10 Pre-Conference Speakers 11 Keynote Speakers 13 Guest Speakers and Panellists 15 Abstracts 22
Dr Andrew Coburn, Director of Advisory Board, Centre for Risk Studies, University of Cambridge Judge Business School Dr Camelia Minoiu, Economist, International Monetary Fund Dr Peter Sarlin, Associate Professor of Economics at Hanken School of Economics and Head of RiskLab Finland Dr Kimmo Soramäki, Founder and CEO of Financial Network Analytics Ltd., Editor-In-Chief of The Journal of Network Theory in Finance 2nd Financial Risk and Network Theory Seminar Pre-Conference Programme Agenda Pre-Publications Preview - Tuesday, 8 September 2015 Registration 13:30-14:00
• Session I 14:00-16:00 Lecture Theatre 2 Discussant: TBC Counterparty Credit Limits: An Alternative »
Approach to Mitigating Counterparty Risk Martin D. Gould, Imperial College Interbank Network Formation from »
Heterogeneity to Systemic Risk Piotr Jelonek, University of Warwick Strategic Complementarity in Banks’ Funding »
Liquidity Choices & Financial Stability Andre Silva, Cas
2nd Financial Risk and Network Theory Seminar Seminar Information Financial institutions and markets are highly interconnected, but literature has only recently begun to emerge that maps these interconnections and assesses their impact on financial risks and returns. The conference celebrates contributions to the Journal of Network Theory in Finance and aims to spark interest and feed new collaborations in this emerging multidisciplinary field.
Topics include but are not limited to the following:
• Empirical network analysis that enables better understanding of financial flows, exposures and markets
• Modelling and simulation techniques for measuring interdependent financial risks
• New metrics and techniques for identifying central, vulnerable or systemically important institutions and markets in financial networks and informs regulatory strategies for improving financial stability
• Network modelling of time-series data for financial risk management, asset allocation and portfolio management
• Social network analysis (SNA) in finance, e.g. for making credit and investment decisions
• Applied network visualisation techniques that improve the communication of financial risks and rewards
• Analysis of counterparties and their risk exposure from interconnectivity with the financial system http://www.risk.net/type/journal/source/journal-of-network-theory-in-finance
Seminar Information Venues
Sessions will be held in:
• Lecture Theatre 1
• Lecture Theatre 2 (between 3rd and 4th Floor)
• Castle Teaching Room (4th Floor) Refreshment breaks and lunch will be held in the Common Room, the café area on the 2nd floor.
Wi-Fi Wi-Fi is available for conference guests at Judge Business School. For the login name and password, please ask a member of the conference staff.
Bags and Coats Coats can be left on the racks in the reception areas on the ground floor, at the owner’s risk. A luggage storage room will be available at W2.01. Please ask a member of conference staff for the location of this room. This room will be locked after the seminar has begun and unlocked at the end of the day. Speak with a member of staff if you need access to your luggage during the day.
Alternatively there will be a limited amount of space in the lecture theatre.
Please remove all items from the building at the end of the meeting as the building will be inaccessible in the evening.
Feedback forms Feedback forms will be provided. We greatly would appreciate these being filled out and left with one of the seminar organisers at the end of the day. Thank you.
Directions For directions to Judge Business School, please see information at http://www.jbs.cam.ac.uk/ contact/ Please note that parking at Judge Business School is very limited. It is advisable to arrive by public transport, or use the Park and Ride service if arriving by car. If you need to park closer to the venue, please contact the meeting organisers for direction to city car parks.
2nd Financial Risk and Network Theory Seminar Dining Information Seminar Dinner at Gonville and Caius College
A drinks reception and dinner will take place at St Gonville and Caius College.
Gonville and Caius College is a short walk from Cambridge Judge Business School.
A group will walk over from the School to the college. Please meet in the CJBS reception area at 18:20.
A location map is attached should you wish to make your own way to the college If you are staying in Cambridge overnight there should be time to return briefly to your hotel before dinner. Directions to the Main Dining Hall can be obtained from the Gonville and Caius Porters Lodge. There will also be signs posted.
Tuesday, 8 September 2015
Pre-Publication Previews: Session I 8 September 2015 Martin D. Gould James S. McDonnell Postdoctoral Fellow, CFM-Imperial Institute of Quantitative Finance, Imperial College London Counterparty Credit Limits: An Alternative Approach to Mitigating Counterparty Risk Martin Gould is a James S. McDonnell Postdoctoral Fellow in the CFM-Imperial Institute of Quantitative Finance, which is part of the Department of Mathematics at Imperial College, London. He is also a lecturer on the Mathematical and Computational Finance MSc at the University of Oxford.
Martin holds a DPhil (PhD) in mathematics from the University of Oxford, Part III of the Mathematical Tripos from the University of Cambridge and a BSc (Hons) in mathematics from the University of Warwick. Martin’s current research interests span a wide variety of topics related to trading via electronic limit order books. He is particularly interested in understanding how macroscopic-scale phenomena (such as the spectral whiteness of returns) emerge from the microscopic-scale actions and interactions between individual traders. He is also interested in developing and implementing new tools for mining the massive data sets that real-world LOBs generate.
Piotr Jelonek University of Warwick Interbank Network Formation from Heterogeneity to Systemic Risk Piotr holds a PhD in economics from the University of Leicester, an MSc in applied mathematics from the University of Warsaw and an MSc in quantity methods and information systems from the Warsaw School of Economics. Prior to his PhD Piotr worked as a researcher in the National Bank of Poland where he investigated applications of Bayesian methods to short-term inflation forecasting. He is interested in inter-bank networks, systemic risk and heavy-tailed econometrics. Piotr is currently a teaching fellow at the Department of Economics at University of Warwick.
Andre Silva Cass Business School Strategic Complementarity in Banks’ Funding Liquidity Choices & Financial Stability Andre Silva is a Ph.D. candidate in Finance at Cass Business School in London. His recent research examines the role played by bank networks and their strategic decisions on financial stability. Andre is also currently based at the European Banking Authority (EBA) where he is investigating the effect of bank capital regulation on SME access to finance. He holds a M.Sc. and M.Res. in Finance with Distinction from Lancaster University Management School and Cass Business School, respectively.
Asena Temizsoy City University London Importance of Network Positioning in the Interbank Market Asena Temizsoy is a PhD student in financial economics at City University London. She obtained a BSc in Management Engineering from Istanbul Technical University, a MSc in Financial Economics from City University London. Before her PhD studies, she worked at Thomson Reuters for six years where she managed the financial statements research and analysis for Europe and Emerging Markets. Her current research interests focus on importance of bank pair relationship and financial network in the interbank market.
2nd Financial Risk and Network Theory Seminar Pre-Publication Previews: Session II 8 September 2015
Ilja Kristian Kavonius is a Senior Economist-Statistician at the European Central Bank. Additionally, he holds a Doctor of Social Sciences and is an Adjunct Professor (dosentti) at the University of Eastern Finland in the Faculty of Social Sciences and Business Studies. Before joining the ECB he worked in the United Nations Economic Commission for Europe and Statistics Finland. His work and research is mainly focused on networks based on integrated accounting systems, measurement of economy, economic development, risk and wellbeing both in economics and economic history. He has long experience of different aspects of statistics especially national accounts. In this area he is, and has been a member of several European and world-level expert groups and task forces.
Rafael Jimenez Duran Central Bank of Mexico Liquidity Decisions & the Timing Of Interbank Payments: An Approximate Dynamic Programming Approach Rafael Jiménez is a researcher of the Payment System Studies Division in the Bank of Mexico. He studied economics in the Mexican Autonomous Institute of Technology, where he is currently enrolled in a Masters program in Economic Theory. His work is focused on modelling different aspects of the payment systems, from banks’ strategic decisions in the large-value payment system to the adoption of electronic payments.
Marco Valerio Geraci Doctoral Candidate, Universitie Libre de Bruxelles and University of Namur Measuring Interconnectedness between Financial Institutions with Bayesian TimeVarying Vars Marco Valerio Geraci holds an MSc in Economics from the London School of Economics and a BSc in Economics from the University of Warwick. He is enrolled in a joint PhD in Economics at the Université libre de Bruxelles and University of Namur. His research interests lie in the fields of financial econometrics and network theory. In particular he is interested in applying techniques from these fields to study interconnectedness, systemic risk and tail dependence in financial markets.
Yanhua Chen Doctoral Candidate, University of Liverpool Community Structure & Influence Analysis in Cointegrationbased Financial Network Yanhua Chen is a PhD student in the Institute for Risk and Uncertainty at the University of Liverpool. Her current research focuses on the empirical analysis of financial markets and modelling financial markets using complex network theory. Before joining the University of Liverpool, she obtained a Masters degree in Systems Theory from the Nanjing University of Information Science and Technology in China.
Wednesday, 9 September 2015
Financial Risk and Network Theory Seminar Keynote Speakers: Session I Kimmo Soramäki Founder & CEO, Financial Network Analytics, and founding Editor-In-Chief of the Journal of Network Theory in Finance Applications of Network Theory in Finance Kimmo started his career as an economist at the Bank of Finland where he developed in 1997 the first simulation model for interbank payment systems. In 2004 while at the research department of the Federal Reserve Bank of New York, he was among the first to apply methods from network theory to improve our understanding of financial systems.
During the financial crisis of 2007-2008 Kimmo advised several central banks, including the Bank of England and European Central Bank, in modeling interconnections and systemic risk. This work led him to found FNA in 2010 to solve important issues around financial risk and for exploring the complex financial networks that play a continually larger role in the world around us. Kimmo holds a Doctor of Science in Operations Research and a Master of Science in Economics (Finance), both from Aalto University in Helsinki.
Stefano Battiston Professor, University of Zurich The Price of Complexity in Financial Networks Stefano Battiston is SNF Professor at the Department of Banking and Finance of the University of Zurich. His work applies the complex networks approach both to the empirical analysis of large economic networks and the modelling of their dynamics. Since several years, his main interests have been financial contagion, default cascades, and propagation of financial distress, where he combines the insights from the statistical mechanics of networks with the analysis of economic incentives.
He has been involved in many international projects, including FOC (Forecasting Financial Crises) the first European project aimed at anticipating structural instabilities in the global financial networks. He is now the coordinator of the FET project SIMPOL that investigates policy modeling in finance and climate finance.
From 2015 he also coordinates the FET project DOLFINS that investigates how to better channel finance towards sustainable economy in a networked economy. Within the Financial Stability Program directed by the Nobel laureate Joseph Stiglitz and funded by the Institute of New Economic Thinking, Stefano Battiston coordinates the Working Group on Financial Networks.