Centre for Central Banking Studies (CCBS) and Hong Kong Institute for Monetary Research (HKIMR)

Systemic Risk Modelling: Ideas and Methods

 

12 April 2011 (Tuesday) - 15 April 2011 (Friday)

 

 

12 April 2011
10:00 - 10:15 Event introduction and tour de table

Dr Kevin James, Senior Adviser: Financial Stability, Centre for
Central Banking Studies (CCBS), Bank of England

Dr Iryna Kaminska, Analyst, Scenario Design & Development Team,
Risk Assessment Division (RAD), Bank of England
10:15 - 11:30 Macroprudential modelling: a stocktake of tools and techniques

Iryna Kaminska
11:30 - 11:45 Break
11:45 - 13:15 Macroprudential Policy: A Skeptical View

Kevin James
13:15- 14:45 Lunch
14:45 - 16:00 Introduction to Mathematica

Kevin James
16:00 - 16:15 Break
16:15 - 17:15 Introduction to Network Models

Kevin James
18:00 - 20:00 Welcoming Dinner
13 April 2011
10:00 - 11:00 Constructing a Network Model

Kevin James/ Iryna Kaminska
11:00 - 11:15 Break
11:15 - 13:00 Introduction to Matlab

Iryna Kaminska
13:00 - 14:30 Lunch
14:30 - 16:00 RAMSI: An Overview

Iryna Kaminska
16:00 - 16:15 Break
16:15 - 17:00 Matlab, Mathematica Q&A (optional)

Kevin James and Iryna Kaminska
14 April 2011
10:00 - 12:00 RAMSI: The Macroeconomic Module

Iryna Kaminska
12:00 - 13:30 Lunch
13:30 - 14:45 RAMSI: The Credit Risk Module

Iryna Kaminska
14:45 - 15:00 Break
15:00 - 16:30 A Model of Funding Liquidity

Iryna Kaminska
15 April 2011
10:00 - 11:15 An Introduction to Bootstrapping

Kevin James
11:15 - 11:30 Break
11:30 - 12:45 Evaluating Systemic Risk Models

Kevin James
12:45 - 13:00 Seminar Close
13:00 - 14:00 Lunch