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

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

Wednesday, 3 July 2019

Česká národní banka Congress Centre
Senovážné náměstí 30, Prague 1

Participation is by invitation only.


All times are local.


Registration and coffee


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


  • Iñaki 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


  • Mattia Montagna, European Central Bank
  • Giovanni Covi, European Central Bank

Discussant: Martín Saldías, European Central Bank


Coffee break


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


  • 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


  • 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


  • Matthieu Bussière, Banque de France
  • Baptiste Meunier, Banque de France

Systemic liquidity shortfall: A macroprudential monitoring indicator of liquidity risk

Presenter: Ulrich Krüger, Deutsche Bundesbank


  • 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


  • Hannah Hempell, European Central Bank
  • Tobias Herbst, European Central Bank
  • Charalampos Kouratzoglou, European Central Bank

Discussant: Simona Malovaná, Česká národní banka


Closing remarks

End of workshop
Call for paper information