Castellón, 30th - 31st May 2013

 

Thursday, May 30th

9:30 - 10:00

Registration

   

10:00 - 11:15

Welcome + Invited talk : Kimmo Soramäki - "Financial Cartography"

   

11:15 - 11:45

Coffee Break

   

11:45 - 13:30

Session 1: Structure of Interbank Networks


Bernardo Bravo-Benítez, Serafín Martínez-Jaramillo, Biliana Alexandrova Kabadjova and Juan Pablo Solórzano-Margain

An Empirical Study of the Mexican Banking System's Network and its Implications for Systemic Risk [wp]

Daan in 't Veld, Cars Hommes and Marco van der Leij

The formation of a core-periphery network in interbank markets

Leonardo Bargigli, G. di Lasio, L. Infante, F. Lillo and F. Pierobon

The multiplex and open structure of the interbank market

   

13:30 - 15:30

Lunch Break

   

15:30 - 17:00

Session 2: Modelling Banks' Behavior


Tom Schmitz

Risk Taking in Networks

Marco Pelliccia

Ambiguous Networks

Yoshiharu Maeno, Kenji Nishiguchi, Satoshi Morinaga and Hirokazu Matsushima

Optimal interbank credit network and investment portfolio for a robust financial system

   

17:00 - 17:30

Coffee Break

   

17:30 - 19:00

 

 

Session 3: Lending Behavior


Matthias Raddant

Structure in the Italian Overnight Loan Market

Falk Bräuning and Falko Fecht

Relationship lending in the interbank market and the price of liquidity

Makoto Nirei, Julián Caballero and Vladyslav Sushko

Syndicated lending and the propagation of financial shocks

   

21:00

Social Dinner

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Friday, May 31st

9:15 - 10:15

Invited Talk II: Sam Langfield - "Interbank Markets: Understanding Their Structure and Resilience"

   

10:15 - 12:20

 

 

Session 4: Cascades and Contagion


Tarik Roukny, Hugues Bersini, Hugues Pirotte, Guido Caldarelli and Stefano Battiston

Default Cascades in Complex Networks: Topology and Systemic Risk

Fariba Karimi and Matthias Raddant

Cascades in a real financial market

Fabio Caccioli, Munik Shrestha, Cristopher Moore and J. Doyne Farmer

Stability analysis of financial contagion due to overlapping portfolios

 

Mario Eboli

A flow network analysis of direct balance-sheet contagion in financial networks(wp)

   

12:20 - 12:50

Coffee Break

   

12:50 - 13:40

 

 

Session 5: Cross-border Contagion


Alesia Kalbaska

From Sovereigns to Banks Evidence on Cross-border Contagion (2006-2011)

Peter Claeys and Borek Vašícek

Systemic risk, and the sovereign-bank default nexus: a network VAR approach

   

13:40 - 15:30

Lunch Break

   

15:30 - 17:00

 

 

Session 6: Systemic Risk


Lasse Loepfe, Antonio Cabrales and Angel Sánchez

Systematic analysis of system-caused systemic risk

Bin Wang and S. A. Cheong

The Systematic Risks of Short Investment Positions on Interbank Networks

James Porter and Giulia Iori

Systemic Risk, longer duration lending and interbank network structure

 

17:00

Coffee Break+End

Universitat Jaume I CIF: Q-6250003-H    Av. de Vicent Sos Baynat, s/n     12071 Castelló de la Plana, Espanya     Tel.: +34 964 72 80 00 Fax: +34 964 72 90 16