Winter School on Complex networks in finance
BigDataFinance training event: Winter School on Complex networks in finance
Date: 9-13 January, 2017
Location: University of Zürich
More information
Agenda:
Monday, 9 January 2017 – Venue: Room 406, Andreasstrasse 15, Building AND, 8050 Zurich | ||||
08:30 – 10:00 | BDF lectures: Introduction to financial networks, Stefano Battiston (UZH) | |||
10:00 – 10:30 | Coffee break | |||
10:30 – 13:00 | BDF lectures: Credit valuation adjustments by a network-based methodology, Sumit Sourabh (ING) | |||
13:00 – 14:00 | Lunch | |||
14:00 – 16:00 | BDF tutorials: Network Analysis and Visualization Tools (Orbis, Neo4j, Gephi, Matlab), James Glattfelder (UZH), Borut Sluban (UZH) | |||
16:00 – 16:30 | Coffee Break | |||
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Tuesday, 10 January 2017 – Venue: Room 406, Andreasstrasse 15, Building AND, 8050 Zurich | ||||
08:30 – 10:00 | BDF lectures: Investor networks in stock markets, Juho Kanniainen (TUT) | |||
10:00 – 10:30 | Coffee break | |||
10:30 – 13:00 | BDF tutorials: Blockchain technologies for financial markets, Richard Olsen (Lykke AG and OLSEN Ltd), Anton Golub (Lykke AG and OLSEN Ltd), Daniel Gasteiger (nexussquared) | |||
13:00 – 14:00 | Lunch | |||
14:00 – 16:00 | BDF Tutorials: Network based stress testing, Stefano Battiston (UZH), Paolo Barucca (UZH) | |||
16:00 – 16:30 | Coffee break | |||
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20:00 | BDF social dinner | |||
Wednesday, 11 January 2017 – Venue: Aula, KOL-G-201, Rämistrasse 71, 8006 Zürich | ||||
10:00-10:30 | Welcome Coffee | |||
10:30-10:45 | Introductory remarks: Stefano Battiston (UZH) | |||
Session 1. Valuation, Contagion, and Endogeneity in Financial Networks | ||||
10:45-13:00 | Mauro Napoletano (OFCE-Sciences Po): Collateral Unchained: Rehypotecation networks, complexity and systemic effects
Marco D’Errico (UZH): Rethinking Financial Contagion Paolo Barucca (UZH): Network Valuation in Financial Systems |
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13:00-14:00 | Lunch | |||
Keynote Session | ||||
14:00-15:00 | Lucas Bretschger (ETH Zurich): Sustainability, Risk, and Climate Policy: The Long-Run Perspective. | |||
Session 2. Climate Policies and Climate-finance Networks | ||||
15:00-17:00
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Marc Chesney (UZH): Mitigating Global Warming: A Real Options Approach
Antoine Mandel (Paris School of Economics, University Paris 1 Panthéon-Sorbonne): A climate stress-test of the financial system Veronika Stolbova (UZH): The climate-finance EA macro-network: mapping the exposure of the financial system to climate policy risks |
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17:00 – 17:30 | Coffee Break | |||
Session 3. Financial Networks and Civil Engagement on Sustainability | ||||
17:30-19:30 | Giulia Porino (Finance Watch): Citizens Dashboard of Finance
Franziska Schütze (Global Climate Forum) and Hamza Zeytinoglu (Bosforus Univ.): Policy Network Maps Crowdsourcing |
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17:30-19:30 | Parallel Session – Marie-Curie fellows’ presentations III (Room: KOL-G-209) | |||
Thursday, 12 January 2017 – Venue: Aula, KOL-G-201, Rämistrasse 71, 8006 Zürich | ||||
Session 4 (General public). Finance and sustainability: what role for civil society?
Panel session with final discussion |
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08:30-10:30 | Antoinette Hunziker-Ebneter (Forma Futura Invest AG): Nachhaltigkeit in der Finanzindustrie – Utopie oder Realität
Prof. Anton Gunzinger (ETH and Supercomputing Systems): Erneuerbare Energie (in German) Katharina Serafimova (WWF): tba Thierry Philipponnat (Institut Friedland): The Role of Civil Society in Holding Financial Powers Accountable Jared Bibler (Katla AG): Globalized market abuse: the example of Iceland |
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10:30-11:00 | Coffee break | |||
11:00-13:00 | Marc Chesney (UZH): Financial Innovation and Systemic Risks
Stefano Battiston (UZH): Rethinking Sustainable Finance Panel Discussion |
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13:00-14:00 | Lunch | |||
Keynote Session | ||||
14:00-15:00 | Rama Cont (Imperial College): Systemic stress testing, fires sales and indirect contagion. | |||
Session 5. Estimating Financial Networks and Systemic Risk with limited information. Chairman: Guido Caldarelli (IMT). | ||||
15:00-16:30 | Luitgard Veraart (LSE): Adjustable Network Reconstruction with Applications to CDS Exposures.
Tiziano Squartini (IMT): Reconstructing economic and financial networks Giulio Cimini (IMT): Statistically validated network of portfolio overlaps and systemic risk. |
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16:30-17:00 | Coffee break | |||
Session 6. Public Round Table. Disentangling the Finance-Climate-Inequality Nexus. | ||||
17:30-19:30 | Hosting: Nobel Laureate Prof. Joseph Stiglitz (Columbia Univ.), Thierry Philipponnat (Institut Friedland), Sony Kapoor (Re-Define). Moderator: Katharina Serafimova.
Click here to see a video recording of the public round table session. |
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Friday, 13 January 2017 – Venue: Aula, KOL-G-201, Rämistrasse 71, 8006 Zürich | ||||
Keynote Session | ||||
09:00-10:00 | Franklin Allen (Imperial College): Financial Networks and Systemic Risk | |||
Session 7. Over the Counter markets: insights from network theory. Chairman Kjell Nyborg (UZH) | ||||
10:00-10:50 | Marco D’Errico (UZH): How does risk flow in the Credit Default Swap market?
Tarik Roukny (Univ. of Ghent): Compressing over-the-counter markets. |
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10:50-11:20 | Coffee Break | |||
11:20-13:00
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Marc Chesney (UZH): Complexity of Structured Products
Inaki Aldasoro (BIS): Multiplex interbank networks and systemic importance: an application to European data Christoph Aymanns (LSE): Illiquidity Spirals in Over-the-Counter Repo Markets Kartik Anand (Deutsche Bundesbank): General discussion of Session 7 |
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13:00-14:00 | Lunch | |||
Keynote Session | ||||
14:00-15:00 | Joseph Stiglitz (Columbia Univ.): The Price of Complexity in Financial Networks | |||
Session 8. Policy Applications of Financial Networks. Chairman Stefano Battiston (UZH) | ||||
15:00-15:40 | Grzegorz Hałaj (ECB): ABM of systemic liquidity risk.
Kartik Anand (Deutsche Bundesbank): Capturing information contagion in a stress-testing framework |
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15:40-16:10 | Coffee Break | |||
16:10-16:50 | Peter Sarlin (Hanken School of Economics and RiskLab Finland): RiskRank: Measuring interconnected risk.
Fabio Caccioli (UCL): Pathways towards instability in financial networks |
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Session 9. Conference Concluding Remarks | ||||
16:50-18:00 | Stefano Battiston (UZH), Marc Chesney (UZH) | |||
18:00-19:00 | Marie-Curie fellows’ presentations IV |