Sources of structural systemic risk in the financial system: identification and measurement

Joint Česká národní banka/European Central Bank/European Systemic Risk Board Workshop 2019

Prague, Czech National Bank’s Commodity Exchange building, 3 July 2019

On 3 July 2019 Česká národní banka hosted a workshop on “Sources of structural systemic risk in the financial system: identification and measurement”, organised jointly with the ECB’s Macroprudential Analysis Group and the ESRB’s Analysis Working Group.

Preventing and mitigating systemic risk is a key objective for macroprudential authorities. The structural dimension of systemic risk encompasses characteristics of the financial sector that can make it more vulnerable to adverse financial shocks and amplify their effects. Structural systemic risks may arise from factors such as interconnectedness among financial institutions through direct and indirect exposures, moral hazard and misaligned incentives, or banking sector size and concentration. Quantitative methods for identifying and measuring structural systemic risks are crucial to inform and guide macroprudential policy decisions.

Programme

Opening Remarks

Tomáš Nidetzký, Deputy Governor, Česká národní banka

Session 1: Contagion and interconnectedness

  • Chair: Ianna Yordanova, Danmarks Nationalbank
  • Contagion accounting
    • Presenter: Anne-Caroline Hüser, Goethe University Frankfurt/Deutsche Bundesbank
    • Co-authors:
    • Inaki Aldasoro, Bank for International Settlements
    • Christoffer Kok, European Central Bank
  • Systemic risk: far beyond direct links
    • Presenter: Vitor Oliveira, Banco de Portugal
    • Co-author: Nuno Azevedo, Banco de Portugal
  • Economic shocks, financial contagion and systemic risk in the euro area
    • Presenter: Gabriele Torri, European Central Bank
    • Co-authors:
    • Mattia Montagna, European Central Bank
    • Giovanni Covi, European Central Bank
    • Discussant: Martín Saldías, European Central Bank

Session 2: Sources of systemic risk in the non-banking sector

  • Chair: Petr Jakubik, European Insurance and Occupational Pensions Authority
  • Insurers’ use of derivatives: too low?
    • Presenter: Elisa Letizia, European Central Bank
    • Co-author: Linda Fache Rousová, European Central Bank
  • Interconnections between the French asset management sector and the rest of the French financial system
    • Presenter: Dilyara Salakhova, Banque de France
    • Co-authors:
    • Kheira Benhami, Autorité des Marchés Financiers
    • Caroline Le Moign, Autorité des Marchés Financiers
    • Alexandre Vinel, Directorate-General of the French Treasury
  • Systemicness and vulnerability of banks and funds in the euro area
    • Presenter: Spyros Palligkinis, European Central Bank
    • Co-authors:
    • Harun Mirza, European Central Bank
    • Diego Moccero, European Central Bank
    • Cosimo Pancaro, European Central Bank
    • Discussant: Marco D’Errico, European Systemic Risk Board
  • Keynote address
    • Wolf Wagner, Rotterdam School of Management/Centre for Economic Policy Research

Session 3: Structural risks in the banking sector

  • Chair: Dilan Ölcer, Sveriges Riksbank
  • Bank complexity and bank leverage: a complex relationship
    • Presenter: Justine Pedrono, Banque de France/Autorité de Contrôle Prudentiel et de Régulation
    • Co-authors:
    • Matthieu Bussiere, Banque de France
    • Baptiste Meunier, Banque de France
  • Systemic liquidity shortfall: A macroprudential monitoring indicator of liquidity risk
    • Presenter: Ulrich Krüger, Deutsche Bundesbank
    • Co-authors:
    • Christoph Roling, Deutsche Bundesbank
    • Leonid Silbermann, Deutsche Bundesbank
    • Lui-Hsian Won, Deutsche Bundesbank
  • Credit risk analysis of bank corporate lending in the euro area using two–mode networks
    • Presenter: Martín Saldías, European Central Bank
    • Co-authors:
    • Hannah Hempell, European Central Bank
    • Tobias Herbst, European Central Bank
    • Charalampos Kouratzoglou, European Central Bank
    • Discussant: Simona Malovaná, Česká národní banka

Closing remarks

  • Carsten Detken (European Central Bank)
  • Hannah Hempell (European Central Bank)
  • Piotr Kusmierczyk (European Systemic Risk Board)
  • Simona Malovaná (Česká národní banka)
  • Tuomas Peltonen (European Systemic Risk Board)
  • Mara Pirovano (European Central Bank)
  • Marek Rusnák (European Central Bank)
  • Martín Saldías (European Central Bank)
  • Thomas Schepens (Nationale Bank van België/Banque Nationale de Belgique)
  • Shirley Simmons-Nocca (European Systemic Risk Board)