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Financial Risk & Network Theory: Pre-publication Previews

In collaboration with Journal of Network Theory in Finance

Tuesday 8 September 2015

13:30-14:00 Registration
14:00-16:00 Session I

  • 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, Cass Business School
  • Importance of Network Positioning in the Interbank Market
    Asena Temizsoy, City University London
16:00-16:30 Break
16:30-18:00 Session II
Chair: Ilja Kristian Kavonius, European Central Bank

  • Liquidity Decisions & the Timing Of Interbank Payments: An Approximate Dynamic Programming Approach
    Rafael Jiménez, Central Bank of Mexico
  • Measuring Interconnectedness between Financial Institutions with Bayesian Time ­Varying Vars
    Marco Geraci, Universite libre de Bruxelles
  • Community Structure & Influence Analysis in Cointegration­ based Financial Network
    Yanhua Chen, University of Liverpool

Organising committee

Andrew Coburn

Andrew Coburn

Director of the External Advisory Board, Cambridge Centre for Risk Studies

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Camilla Minoiu

Camelia Minoiu

Economist in the Research Department, International Monetary Fund

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Peter Sarlin

Peter Sarlin

Associate Professor of Economics, Hanken School of Economics

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Kimmo Soramäki

Andrew Coburn

Founder and CEO, Financial Network Analytics Ltd

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Speakers

Dr Martin Gould

Dr Martin Gould

James S. McDonnell Postdoctoral Fellow of CFM-Imperial Institute of Quantitative Finance, Imperial College London

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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

Piotr Jelonek

Teaching Fellow, University of Warwick

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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.

Interbank Network Formation from Heterogeneity to Systemic Risk

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Andre Silva

Andre Silva

Doctoral Candidate, Cass Business School

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Andre Silva is a PhD 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 MSc and MRes in Finance with Distinction from Lancaster University Management School and Cass Business School, respectively.

Strategic Complementarity in Banks' Funding Liquidity Choices & Financial Stability

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Asena Temizsoy

Asena Temizsoy

Doctoral Candidate, City University London

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Asena Temizsoy is a PhD student in financial economics at City University London. She obtained a BSc in Management Engineering from Istanbul Technical University, and an 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.

Importance of Network Positioning in the Interbank Market

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Ilja Kristian Kavonius

Ilja Kristian Kavonius

Senior Economist-Statistician, European Central Bank

Read more about Ilja Kristian Kavonius

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 Jiménez

Rafael Jiménez

Researcher in the Payment System Studies Division, Bank of Mexico

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Rafael Jiménez is a researcher at the Payment System Studies Division of the Bank of Mexico. He studied economics in the Mexican Autonomous Institute of Technology, where he is currently enrolled in a masters programme 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.

Liquidity Decisions & the Timing Of Interbank Payments: An Approximate Dynamic Programming Approach

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Marco Valerio Geraci

Marco Valerio Geraci

Doctoral Candidate, Université libre de Bruxelles and University of Namur

Read more about Marco

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.

Measuring Interconnectedness between Financial Institutions with Bayesian Time­Varying Vars

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Yanhua Chen

Yanhua Chen

Doctoral Candidate, Institute for Risk and Uncertainty, University of Liverpool

Read more about Yanhua

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.

Community Structure & Influence Analysis in Cointegration­based Financial Network

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