Abstract
A realistic and transparent modelling of the dynamics leading to financial and economic distress is of paramount importance to both the supervisor and the policymaker: to the former for identifying vulnerabilities in the system, to the latter for a more reliable and in-depth understanding of the outcome of new regulations. With this in mind, we make an extensive collection and reconciliation of large granular datasets, providing entity level information, and permitting the reconstruction of the Euro Area banking sector. We further impose dynamics on the resulting network through a microstructural model allowing for the description of different mechanisms of contagion and their interactions, as well as for the derivation of accurate measures of systemic risk. This modelling framework provides a starting point for diverse policy applications regarding macroprudential measures, including tools for the identification and analysis of sources of systemic risks.
About the Speakers
Mattia is Principal Financial Stability Expert within the Directorate General Macroprudential Policy and Financial Stability of the European Central Bank. As part of his roles, he also leads the Banking Interconnectedness Coordination Group, an internal multidisciplinary team of quantitative researchers interested in the study of the implications of networks’ topologies on systemic risk.
Luca is a member of the Banking Interconnectedness Coordination Group in the Directorate General Macroprudential Policy and Financial Stability at the ECB. He works as modeller and developer on microstructural approaches for the study of systemic risk and contagion within the Euro Area banking system.
Registration
Please email complexity@inet.ox.ac.uk to confirm your attendance or for further information.