Results of the SYRTO Project
Roberto Savona - Primary Coordinator of the SYRTO Project
University of Brescia
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
Predicting the economic public opinions in EuropeSYRTO Project
Predicting the economic public opinions in Europe
Maurizio Carpita, Enrico Ciavolino, Mariangela Nitti
University of Brescia & University of Salento
SYRTO Project Final Conference, Paris – February 19, 2016
Entropy and systemic risk measures
M. Billio, R. Casarin, M. Costola, A. Pasqualini
Ca’ Foscari Venice University
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
Comment on:Risk Dynamics in the Eurozone: A New Factor Model forSovereign C...SYRTO Project
Comment on:Risk Dynamics in the Eurozone: A New Factor Model forSovereign CDS and Equity Returnsby Dellaportas, Meligkotsidou, Savona, Vrontos. Andre Lucas. Amsterda, June, 25 2015. Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models. Andre Lucas. Amsterdam - June, 25 2015. European Financial Management Association 2015 Annual Meetings.
Predicting the economic public opinions in EuropeSYRTO Project
Predicting the economic public opinions in Europe
Maurizio Carpita, Enrico Ciavolino, Mariangela Nitti
University of Brescia & University of Salento
SYRTO Project Final Conference, Paris – February 19, 2016
Entropy and systemic risk measures
M. Billio, R. Casarin, M. Costola, A. Pasqualini
Ca’ Foscari Venice University
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
Comment on:Risk Dynamics in the Eurozone: A New Factor Model forSovereign C...SYRTO Project
Comment on:Risk Dynamics in the Eurozone: A New Factor Model forSovereign CDS and Equity Returnsby Dellaportas, Meligkotsidou, Savona, Vrontos. Andre Lucas. Amsterda, June, 25 2015. Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models. Andre Lucas. Amsterdam - June, 25 2015. European Financial Management Association 2015 Annual Meetings.
Clustering in dynamic causal networks as a measure of systemic risk on the eu...SYRTO Project
Clustering in dynamic causal networks as a measure of systemic risk on the euro zone
M. Billio, H. Gatfaoui, L. Frattarolo, P. de Peretti
IESEG/ Universitè Paris1 Panthèon-Sorbonne/ University Ca' Foscari
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
Scalable inference for a full multivariate stochastic volatilitySYRTO Project
Scalable inference for a full multivariate stochastic volatility
P. Dellaportas, A. Plataniotis and M. Titsias UCL(London), AUEB(Athens), AUEB(Athens)
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
Network and risk spillovers: a multivariate GARCH perspectiveSYRTO Project
M. Billio, M. Caporin, L. Frattarolo, L. Pelizzon: “Network and risk spillovers: a multivariate GARCH perspective”.
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time...SYRTO Project
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models. Andre Lucas. Amsterdam - June, 25 2015. European Financial Management Association 2015 Annual Meetings.
Discussion of “Network Connectivity and Systematic Risk” and “The Impact of N...SYRTO Project
Discussion of “Network Connectivity and Systematic Risk” and “The Impact of Network Connectivity on Factor Exposures, Asset pricing and Portfolio Diversification” by Billio, Caporin, Panzica and Pelizzon. Arjen Siegmann. Amsterdam - June, 25 2015. European Financial Management Association 2015 Annual Meetings.
Professor Teresa Sordé, Member of the IMPACT-EV project research team and Pro...IrishHumanitiesAlliance
From the IHA Impact in the Humanities event 8 June held in QUB and co-sponsored by InterTradeIreland.
Panel Two: Impact in Horizon 2020 and the EU
How is Impact conceptualised and captured at the EU level, in programmes such as Horizon 2020, and how does this affect academics, research officers and policy makers at the national level?
Macroprudentialism VOX EU ebook December 2014Macropru Reader
Macroprudentialism is now part of the standard macroeconomic toolkit but it involves a set of relatively untested policies. This new Vox eBook collects the thinking of a broad range of leading US and European economists on the matter. A consensus emerges on broad objectives of macroprudential supervision, but important disagreements remain among the authors. http://www.voxeu.org/content/macroprudentialism
The unifished business of the fifth enlargement countries : country report Sl...ekonkafr
The project aims at the identification of specific problems the new member states are facing after their accession to the EU and on the basis of this, at proposing priority areas for common action on European level that might involve:
• Amendment of current common EU policies;
• Deliberation on issues outside the scope of common policies that might necessitate common action on EU level;
• Refraining from the adoption of common EU policies on issues that are considered to be addressed best at national level.
Eleven subsections/policy areas (Subsection B1 – Subsection B11) should be examined byn order to identify existing and/or potntial post-accession “problem areas”.
The analysis of each subsection (policy area) should conclude with:
Assessment of the existence or non-existence of EU leverage after the accession and its reform potential compared to the pre-accession period.
In case there is no EU-leverage, the Expert should realistically examine the possibility and consequences of introducing such a mechanism if relevant.
In case there is EU leverage, the Expert should assess its efficiency and effectiveness. In case it is negatively assessed, the Expert should consider if there is a necessity of abstaining from a common EU policy?
On the basis of the above considerations, the Expert should summarize if for the effective problem-solving in the respective policy area there is a need for:
• the introduction of EU leverage mechanisms in the form of a new common EU policy;
• the reform of an existing EU leverage mechanisms in order to improve its efficiency and effectiveness (and specify how exactly);
• abstaining from an adoption of a common EU policy.
XIth International CIFA Forum
24th to 26th April 2013, Monaco
CAN THE WORLD FINANCIAL SYSTEM BE REFORMED?
The conference is accredited for 8 hours EFPA and members ANASF is allowed a discount of 50%
Since its creation in 1999, the goal of the Master in Economics and Finance (MEF) offered by Universidad de Navarra has been that of preparing competent professionals.
The MEF provides students with the necessary analytical and theoretical foundations for both entering into a PhD program and working in companies that look for rigorously trained specialists (such as national or international organizations, central banks, investment and commercial banks, economic or financial consultancies, and regulators).
After gaining a fundamental understanding of Finance, Econometrics, Micro- and Macroeconomics, Mathematics and Statistics in the first term, the second term is more applied leading eventually to topics-oriented courses in the third term in which students work with data and acquire programming skills. Throughout the academic year, the students attend research seminars and present working papers or published articles to gain a deeper understanding of economic and financial research, which culminates in the Master thesis. The best theses have been published in refereed academic journals.
Our alumni work currently for institutions like the Inter-American Development Bank, the Bank of Spain, the Organisation for Economic Co-operation and Development (OECD) or market regulators in Spain; for leading investment banks like Goldman Sachs or Morgan Stanley, both in the US and the UK; for economic consultancies like Compass Lexecon or management consultancies like Oliver Wyman or Indra; or in other companies, such as, as Chief Risk Manager of Repsol, Energy Demand Analyst at OPEC, in Arcelor Mittal, in Thomson Reuters or in The Toronto-Dominion Bank.
Alumni which decided for a career in academia recently moved to universities, such as, Columbia University (Assistant Professor), Rice University in the US, London School of Economics, The London Business School in Europe, IESE Business School.
New approaches and tools for policy making and regulatory delivery, Behaviour...OECD Governance
Programme for the conference on "New approaches and tools for policy making and regulatory delivery", Behavioural Economics Workshop, OECD, Paris - 31 March 2014. More information at www.oecd.org/gov/behavioural-economics.htm
The fiscal compact, EU IFIs and the new European Fiscal Board - Roel Beetsma,...OECD Governance
This presentation was made by Roel Beetsma, European Fiscal Board Secretariat, at the 9th Annual Meeting of the OECD network of Parliamentary Budget Officials and Independent Fiscal Institutions held in Edinburgh, Scotland, on 6-7 April 2017.
Clustering in dynamic causal networks as a measure of systemic risk on the eu...SYRTO Project
Clustering in dynamic causal networks as a measure of systemic risk on the euro zone
M. Billio, H. Gatfaoui, L. Frattarolo, P. de Peretti
IESEG/ Universitè Paris1 Panthèon-Sorbonne/ University Ca' Foscari
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
Scalable inference for a full multivariate stochastic volatilitySYRTO Project
Scalable inference for a full multivariate stochastic volatility
P. Dellaportas, A. Plataniotis and M. Titsias UCL(London), AUEB(Athens), AUEB(Athens)
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
Network and risk spillovers: a multivariate GARCH perspectiveSYRTO Project
M. Billio, M. Caporin, L. Frattarolo, L. Pelizzon: “Network and risk spillovers: a multivariate GARCH perspective”.
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time...SYRTO Project
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models. Andre Lucas. Amsterdam - June, 25 2015. European Financial Management Association 2015 Annual Meetings.
Discussion of “Network Connectivity and Systematic Risk” and “The Impact of N...SYRTO Project
Discussion of “Network Connectivity and Systematic Risk” and “The Impact of Network Connectivity on Factor Exposures, Asset pricing and Portfolio Diversification” by Billio, Caporin, Panzica and Pelizzon. Arjen Siegmann. Amsterdam - June, 25 2015. European Financial Management Association 2015 Annual Meetings.
Professor Teresa Sordé, Member of the IMPACT-EV project research team and Pro...IrishHumanitiesAlliance
From the IHA Impact in the Humanities event 8 June held in QUB and co-sponsored by InterTradeIreland.
Panel Two: Impact in Horizon 2020 and the EU
How is Impact conceptualised and captured at the EU level, in programmes such as Horizon 2020, and how does this affect academics, research officers and policy makers at the national level?
Macroprudentialism VOX EU ebook December 2014Macropru Reader
Macroprudentialism is now part of the standard macroeconomic toolkit but it involves a set of relatively untested policies. This new Vox eBook collects the thinking of a broad range of leading US and European economists on the matter. A consensus emerges on broad objectives of macroprudential supervision, but important disagreements remain among the authors. http://www.voxeu.org/content/macroprudentialism
The unifished business of the fifth enlargement countries : country report Sl...ekonkafr
The project aims at the identification of specific problems the new member states are facing after their accession to the EU and on the basis of this, at proposing priority areas for common action on European level that might involve:
• Amendment of current common EU policies;
• Deliberation on issues outside the scope of common policies that might necessitate common action on EU level;
• Refraining from the adoption of common EU policies on issues that are considered to be addressed best at national level.
Eleven subsections/policy areas (Subsection B1 – Subsection B11) should be examined byn order to identify existing and/or potntial post-accession “problem areas”.
The analysis of each subsection (policy area) should conclude with:
Assessment of the existence or non-existence of EU leverage after the accession and its reform potential compared to the pre-accession period.
In case there is no EU-leverage, the Expert should realistically examine the possibility and consequences of introducing such a mechanism if relevant.
In case there is EU leverage, the Expert should assess its efficiency and effectiveness. In case it is negatively assessed, the Expert should consider if there is a necessity of abstaining from a common EU policy?
On the basis of the above considerations, the Expert should summarize if for the effective problem-solving in the respective policy area there is a need for:
• the introduction of EU leverage mechanisms in the form of a new common EU policy;
• the reform of an existing EU leverage mechanisms in order to improve its efficiency and effectiveness (and specify how exactly);
• abstaining from an adoption of a common EU policy.
XIth International CIFA Forum
24th to 26th April 2013, Monaco
CAN THE WORLD FINANCIAL SYSTEM BE REFORMED?
The conference is accredited for 8 hours EFPA and members ANASF is allowed a discount of 50%
Since its creation in 1999, the goal of the Master in Economics and Finance (MEF) offered by Universidad de Navarra has been that of preparing competent professionals.
The MEF provides students with the necessary analytical and theoretical foundations for both entering into a PhD program and working in companies that look for rigorously trained specialists (such as national or international organizations, central banks, investment and commercial banks, economic or financial consultancies, and regulators).
After gaining a fundamental understanding of Finance, Econometrics, Micro- and Macroeconomics, Mathematics and Statistics in the first term, the second term is more applied leading eventually to topics-oriented courses in the third term in which students work with data and acquire programming skills. Throughout the academic year, the students attend research seminars and present working papers or published articles to gain a deeper understanding of economic and financial research, which culminates in the Master thesis. The best theses have been published in refereed academic journals.
Our alumni work currently for institutions like the Inter-American Development Bank, the Bank of Spain, the Organisation for Economic Co-operation and Development (OECD) or market regulators in Spain; for leading investment banks like Goldman Sachs or Morgan Stanley, both in the US and the UK; for economic consultancies like Compass Lexecon or management consultancies like Oliver Wyman or Indra; or in other companies, such as, as Chief Risk Manager of Repsol, Energy Demand Analyst at OPEC, in Arcelor Mittal, in Thomson Reuters or in The Toronto-Dominion Bank.
Alumni which decided for a career in academia recently moved to universities, such as, Columbia University (Assistant Professor), Rice University in the US, London School of Economics, The London Business School in Europe, IESE Business School.
New approaches and tools for policy making and regulatory delivery, Behaviour...OECD Governance
Programme for the conference on "New approaches and tools for policy making and regulatory delivery", Behavioural Economics Workshop, OECD, Paris - 31 March 2014. More information at www.oecd.org/gov/behavioural-economics.htm
The fiscal compact, EU IFIs and the new European Fiscal Board - Roel Beetsma,...OECD Governance
This presentation was made by Roel Beetsma, European Fiscal Board Secretariat, at the 9th Annual Meeting of the OECD network of Parliamentary Budget Officials and Independent Fiscal Institutions held in Edinburgh, Scotland, on 6-7 April 2017.
Presentation given by Vincent Tophoff, IFAC Senior Technical Manager, on risk management and internal control at the Second International ISO 31000 Conference in Toronto, May 2013.
The results of the RISCOSS evaluation have been presented in the PMI academic workshop 2016 at the United Nations Global Service Centre in Brindisi. Many thanks to PMI-NIC volunteers and to TAAS branch.
The results of the RISCOSS evaluation have been presented in the PMI academic workshop 2016 at the United Nations Global Service Centre in Brindisi. Many thanks to PMI-NIC volunteers and to TAAS branch.
Research Policy Monitoring in the Era of Open Science & Big Data Workshop ReportData4Impact
Workshop on Research Policy Monitoring in the Era of Open Science and Big Data was a two day event, co-organised by OpenAIRE and Data4Impact, with support of Science Europe. The event explored mechanisms for research policy monitoring and indicators, and how to link these to infrastructure and services. The first day was focused on open science indicators as these emerge from national and EU initiatives, while the second day explored more advanced aspects of indicators for innovation and societal impact.
Jornada informativa organizada el 24 de octubre de 2017 sobre las convocatorias del European Research Council (ERC) dentro del Programa Marco Europeo Horizonte 2020. El evento, celebrado en la Casa de la Ciencia (CSIC), fue organizado por la Agencia Andaluza del Conocimiento en colaboración con el Consejo Superior de Investigaciones Científicas y el MINEICO.
Spillover dynamics for sistemic risk measurement using spatial financial time...SYRTO Project
Spillover dynamics for sistemic risk measurement using spatial financial time series models. Julia Schaumburg, Andre Lucas, Siem Jan Koopman, and Francisco Blasques. ESEM - Toulouse, August 25-29, 2014
http://www.eea-esem.com/eea-esem/2014/prog/viewpaper.asp?pid=1044
Sovereign credit risk, liquidity, and the ecb intervention: deus ex machina? ...SYRTO Project
Sovereign credit risk, liquidity, and the ecb intervention: deus ex machina? - Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno. June, 5 2014. First International Conference on Sovereign Bond Markets.
Measuring the behavioral component of financial fluctuaction. An analysis bas...SYRTO Project
Measuring the behavioral component of financial fluctuaction. An analysis based on the S&P 500 - Caporin M., Corazzini L., Costola M. - November 8, 2013.
ASSET 2013.
Measuring the behavioral component of financial fluctuation: an analysis bas...SYRTO Project
Measuring the behavioral component of financial fluctuation: an analysis based on the S&P500 - Caporin M., Corazzini L., Costola M. June, 27 2013. IFABS 2013 - Posters session.
Time-Varying Temporal Dependene in Autoregressive Models - Francisco Blasques...SYRTO Project
Time-Varying Temporal Dependene in Autoregressive Models - Francisco Blasques, Siem Jan Koopman, Andre Lucas. June 2014. International Association for Applied Econometrics Annual Conference
Maximum likelihood estimation for generalized autoregressive score models - A...SYRTO Project
Maximum likelihood estimation for generalized autoregressive score models - Andre Lucas, Francisco Blasques, Siem Jan Koopman. June 2014. International Association for Applied Econometrics Annual Conference
Spillover dynamics for systemic risk measurement using spatial financial time...SYRTO Project
Spillover dynamics for systemic risk measurement using spatial financial time series models - Blasques F., Koopman S.J., Lucas A., Schaumburg J. June, 12 2014. 7th Annual SoFiE (Society of Financial Econometrics) Conference
Conditional probabilities for euro area sovereign default risk - Andre Lucas,...SYRTO Project
Conditional probabilities for euro area sovereign default risk - Andre Lucas, Bernd Schwaab, Xin Zhang. September, 6 2013 . 2nd Conference on Credit Analysis and Risk Management
The Evolution of Non-Banking Financial Companies (NBFCs) in India: Challenges...beulahfernandes8
Role in Financial System
NBFCs are critical in bridging the financial inclusion gap.
They provide specialized financial services that cater to segments often neglected by traditional banks.
Economic Impact
NBFCs contribute significantly to India's GDP.
They support sectors like micro, small, and medium enterprises (MSMEs), housing finance, and personal loans.
Currently pi network is not tradable on binance or any other exchange because we are still in the enclosed mainnet.
Right now the only way to sell pi coins is by trading with a verified merchant.
What is a pi merchant?
A pi merchant is someone verified by pi network team and allowed to barter pi coins for goods and services.
Since pi network is not doing any pre-sale The only way exchanges like binance/huobi or crypto whales can get pi is by buying from miners. And a merchant stands in between the exchanges and the miners.
I will leave the telegram contact of my personal pi merchant. I and my friends has traded more than 6000pi coins successfully
Tele-gram
@Pi_vendor_247
how to sell pi coins effectively (from 50 - 100k pi)DOT TECH
Anywhere in the world, including Africa, America, and Europe, you can sell Pi Network Coins online and receive cash through online payment options.
Pi has not yet been launched on any exchange because we are currently using the confined Mainnet. The planned launch date for Pi is June 28, 2026.
Reselling to investors who want to hold until the mainnet launch in 2026 is currently the sole way to sell.
Consequently, right now. All you need to do is select the right pi network provider.
Who is a pi merchant?
An individual who buys coins from miners on the pi network and resells them to investors hoping to hang onto them until the mainnet is launched is known as a pi merchant.
debuts.
I'll provide you the Telegram username
@Pi_vendor_247
how to swap pi coins to foreign currency withdrawable.DOT TECH
As of my last update, Pi is still in the testing phase and is not tradable on any exchanges.
However, Pi Network has announced plans to launch its Testnet and Mainnet in the future, which may include listing Pi on exchanges.
The current method for selling pi coins involves exchanging them with a pi vendor who purchases pi coins for investment reasons.
If you want to sell your pi coins, reach out to a pi vendor and sell them to anyone looking to sell pi coins from any country around the globe.
Below is the contact information for my personal pi vendor.
Telegram: @Pi_vendor_247
BYD SWOT Analysis and In-Depth Insights 2024.pptxmikemetalprod
Indepth analysis of the BYD 2024
BYD (Build Your Dreams) is a Chinese automaker and battery manufacturer that has snowballed over the past two decades to become a significant player in electric vehicles and global clean energy technology.
This SWOT analysis examines BYD's strengths, weaknesses, opportunities, and threats as it competes in the fast-changing automotive and energy storage industries.
Founded in 1995 and headquartered in Shenzhen, BYD started as a battery company before expanding into automobiles in the early 2000s.
Initially manufacturing gasoline-powered vehicles, BYD focused on plug-in hybrid and fully electric vehicles, leveraging its expertise in battery technology.
Today, BYD is the world’s largest electric vehicle manufacturer, delivering over 1.2 million electric cars globally. The company also produces electric buses, trucks, forklifts, and rail transit.
On the energy side, BYD is a major supplier of rechargeable batteries for cell phones, laptops, electric vehicles, and energy storage systems.
how can i use my minded pi coins I need some funds.DOT TECH
If you are interested in selling your pi coins, i have a verified pi merchant, who buys pi coins and resell them to exchanges looking forward to hold till mainnet launch.
Because the core team has announced that pi network will not be doing any pre-sale. The only way exchanges like huobi, bitmart and hotbit can get pi is by buying from miners.
Now a merchant stands in between these exchanges and the miners. As a link to make transactions smooth. Because right now in the enclosed mainnet you can't sell pi coins your self. You need the help of a merchant,
i will leave the telegram contact of my personal pi merchant below. 👇 I and my friends has traded more than 3000pi coins with him successfully.
@Pi_vendor_247
Falcon stands out as a top-tier P2P Invoice Discounting platform in India, bridging esteemed blue-chip companies and eager investors. Our goal is to transform the investment landscape in India by establishing a comprehensive destination for borrowers and investors with diverse profiles and needs, all while minimizing risk. What sets Falcon apart is the elimination of intermediaries such as commercial banks and depository institutions, allowing investors to enjoy higher yields.
how to sell pi coins at high rate quickly.DOT TECH
Where can I sell my pi coins at a high rate.
Pi is not launched yet on any exchange. But one can easily sell his or her pi coins to investors who want to hold pi till mainnet launch.
This means crypto whales want to hold pi. And you can get a good rate for selling pi to them. I will leave the telegram contact of my personal pi vendor below.
A vendor is someone who buys from a miner and resell it to a holder or crypto whale.
Here is the telegram contact of my vendor:
@Pi_vendor_247
The European Unemployment Puzzle: implications from population agingGRAPE
We study the link between the evolving age structure of the working population and unemployment. We build a large new Keynesian OLG model with a realistic age structure, labor market frictions, sticky prices, and aggregate shocks. Once calibrated to the European economy, we quantify the extent to which demographic changes over the last three decades have contributed to the decline of the unemployment rate. Our findings yield important implications for the future evolution of unemployment given the anticipated further aging of the working population in Europe. We also quantify the implications for optimal monetary policy: lowering inflation volatility becomes less costly in terms of GDP and unemployment volatility, which hints that optimal monetary policy may be more hawkish in an aging society. Finally, our results also propose a partial reversal of the European-US unemployment puzzle due to the fact that the share of young workers is expected to remain robust in the US.
how to sell pi coins on Bitmart crypto exchangeDOT TECH
Yes. Pi network coins can be exchanged but not on bitmart exchange. Because pi network is still in the enclosed mainnet. The only way pioneers are able to trade pi coins is by reselling the pi coins to pi verified merchants.
A verified merchant is someone who buys pi network coins and resell it to exchanges looking forward to hold till mainnet launch.
I will leave the telegram contact of my personal pi merchant to trade with.
@Pi_vendor_247
Lecture slide titled Fraud Risk Mitigation, Webinar Lecture Delivered at the Society for West African Internal Audit Practitioners (SWAIAP) on Wednesday, November 8, 2023.
1. Results of the SYRTO
Project
SYstemic Risk TOmography:
Signals, Measurements, Transmission Channels, and
Policy Interventions
Roberto Savona - Primary Coordinator of the SYRTO Project
University of Brescia
Final SYRTO Conference - Université Paris1 Panthéon-Sorbonne
February 19, 2016
4. 0
5,000
10,000
15,000
20,000
25,000
30,000
I II III IV I II III IV I II III IV I II III IV I II III IV I II III
2008 2009 2010 2011 2012 2013
Greek Sovereign CDS 5 yrs-300
-250
-200
-150
-100
-50
0
50
II III IV I II III IV I II III IV I II III IV I II
2009 2010 2011 2012 2013
BANK
-200
-150
-100
-50
0
50
100
II III IV I II III IV I II III IV I II III IV I II
2009 2010 2011 2012 2013
DEFICIT
-400
-300
-200
-100
0
100
II III IV I II III IV I II III IV I II III IV I II
2009 2010 2011 2012 2013
GDP
0
50
100
150
200
250
300
II III IV I II III IV I II III IV I II III IV I II
2009 2010 2011 2012 2013
GIPSI
-150
-100
-50
0
50
II III IV I II III IV I II III IV I II III IV I II
2009 2010 2011 2012 2013
IND_PROD
-200
-100
0
100
200
300
II III IV I II III IV I II III IV I II III IV I II
2009 2010 2011 2012 2013
INFL
-120
-80
-40
0
40
80
120
II III IV I II III IV I II III IV I II III IV I II
2009 2010 2011 2012 2013
UNEMPL
Daily Cross-Sectional CDS Loadings – EU Countries (excl. Greece)
Balduzzi, Savona, Alessi (2016) – preliminary results
5. Results of the SYRTO Project
Paris, 19 February 2016
Roberto Savona
Primary and Scientific Coordinator of the SYRTO Project
Department of Economics and Management
University of Brescia
SYRTO Kick-Out Meeting &
First LabEx ReFi Conference on Systemic Risk
8. SYRTO – SYstemic Risk TOmography
Funded by the European Union under the 7th
Framework Programme. Budget: 2.47 mln €.
Structure:
Consortium
1. University of Brescia (Italy) – UNIT LEADER
2. CNRS & Paris I Sorbonne (France)
3. Athens University of Economics and Business – RC (Greece)
4. University Cà Foscari Venice (Italy)
5. University of Amsterdam Stichting VU-VUMC (Netherlands)
Advisory Board
I. Scientific Division
II. Policy Division
9. Consortium
Our team (40 full-time researchers)
I. UNIVERSITY OF BRESCIA
• Roberto Savona
(Primary and Scientific Coordinator)
• Maurizio Carpita
• Chiara Carini
• Marica Manisera
• Marco Sandri
• Marika Vezzoli
• Flaminio Squazzoni
• Paola Zuccolotto
• Enrico Ciavolino (University of Salento)
• Silvia Figini (University of Pavia)
II. CENTRE NATIONAL DE LA RECHERCHE SCIENTIFIQUE
• Philippe de Peretti
• Jorgen Vitting-Andersen
• Peter Addo
• Hayette Gatfaoui
• Dominique Guégan
• Rania Kaffel
• Lorenzo Frattarolo
• Liu Yifang
III. ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS – RC
• Petros Dellaportas
• Efstathia Agelonidi
• Anastasios Plataniotis
• Ioannis Vrontos
IV. UNIVERSITY CA’ FOSCARI VENICE
• Monica Billio
(Scientific Coordinator)
• Loriana Pelizzon
• Diana Barro
• Roberto Casarin
• Michele Costola
• Fulvio Corsi
• Gloria Gardenal
• Martina Nardon
• Marcella Lucchetta
• Antonio Paradiso
• Domenico Sartore
• Massimiliano Caporin (University of Padova)
V. UNIVERSITY OF AMSTERDAM STICHTING VU-VUMC
• Andre Lucas
• Arjen Siegman
• Siem Jan Koopman
• Francisco Blasques
• Julia Schaumburg
• Dirk Schoenmaker
10. Advisory Board
I. SCIENTIFIC DIVISION (21 MEMBERS)
A. RESEARCH UNIT (6 MEMBERS)
A.1. Researchers working with the University of Brescia
• Pierluigi Balduzzi (Boston College)
• Paolo Manasse (University of Bologna and IGIER Bocconi)
A.2. Researchers working with University Cà Foscari Venice
• Lorenzo Forni (University of Padua)
• Mila Getmansky Sherman (UMass Amherst)
• Andrew W. Lo (MIT Sloan)
• Roger Stein (MIT Sloan)
B. SUPERVISORY UNIT (15 MEMBERS)
• Viral V. Acharya (NYU Stern)
• Yacine Aït-Sahalia (Princeton University)
• Herman K. Van Dijk (VU University Amsterdam)
• John Doukas (Old Dominion University)
• Darrell Duffie (Stanford University)
• Mardi Dungey (University of Tasmania and University of Cambridge)
• Paul Embrechts (ETH Zurich)
• Robert Engle (NYU Stern)
• Rajna Gibson Brandon (University of Geneva)
• Christian Gourieroux (University of Toronto and CREST)
• David Lando (Copenhagen Business School)
• Norman S. Matloff (UC Davis)
• Alain Monfort (CREST and University of Maastricht)
• Sthephen Schaefer (London Business School)
• Charles J. Stone (UC Berkeley)
11. Advisory Board (cont’d)
II. POLICY DIVISION (14 MEMBERS)
• Carsten Detken (ECB)
• Gianni Amisano (FRB)
• Lucia Alessi (EC)
• Thilo Liebig (ESRB, Deutsche Bundesbank)
• Andrea M. Maechler (IMF)
• Simone Manganelli (ECB)
• Bernd Schwaab (ECB)
• Giovanni Dell’Ariccia (IMF)
• Gianni De Nicolò (IMF)
• John Berrigan (DG ECFIN)
• Sebastian Schich (OECD)
• Mario Quagliariello (EBA)
• Kostas Tsatsaronis (BIS)
• Xin Zhang (Sveriges Riksbank)
12. Objectives
Thinking and rethinking the
economic and financial system as a
system of Sovereigns, Banks with
other Financial Intermediaries and
Corporations.
Financial Networks
Topology
Looking at the financial system as a biological entity and try to
identify the main risk signals also providing the right measures
of prevention and interventions.
HIV infected cell
Banks &
Other Fin Int
Corporations
Sovereigns
13. Main Deliverables - Publications
111 Publications ( … but the number is running up):
Bankers, Markets & Investors
Canadian journal of statistics
Computational Statistics & Data Analysis
Economic Modelling
European Journal of Operational Research
Europhysics letters
Financial Analysts Journal
Intelligent Systems in Accounting, Finance and Management
International Journal of Forecasting
International Review of Financial Analysis
Journal of Advanced Econometrics
Journal of Alternative Investments
Journal of Applied Econometrics
Journal of Banking and Finance
Journal of Business and Economic Statistics
Journal of Econometrics
Journal of Econometrics
Journal of Empirical Finance
Journal of Forecasting
Journal of Money Credit and Banking
Journal of Multivariate Analysis
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Metron
Oxford Bulletin of Economics and Statistics
Pattern Recognition Letters
PLoSONE
Procedia Economics and Finance
Review of Economics and Statistics
Review of Finance
Statistical Papers
The North American Journal of Economics and Finance
42 Publications in 34 International Peer Reviewed Journals
Advances in Latent Variables - Springer
Country and Political Risk - Risk Books
4 Chapters in 2 International Peer Reviewed Books
Bancaria
Comment la régulation financière peut-elle sortir l’Europe de la crise?
Statistica & Applicazioni
3 Publications in 3 National Journals
62 Working Papers (under revision & to submit)
http://syrtoproject.eu/publications/
14. Main Deliverables – Special Issue
Special Issue on
Systemic Risk
Mila Getmanky & Roger M. Stein (eds)
Issue: Spring 2016
Contributors:
P. Glasserman, G. Tangiralaz (Columbia)
S. Das (Santa Clara)
S. Battiston, M. D’Errico, S. Gurciullo (Zurich)
M. Flood, P. Monin (OFR)
H. Mamaysky (Columbia)
M. Billio, L. Frattarolo, L. Pelizzon (Ca’ Foscari )
E. Ciavolino, R. Savona (Brescia)
A. Lo, R. Stein (MIT)
Note: All papers and co-authors presented at CSRA
15. Main Deliverables – Book
Monograph
Systemic Risk Tomography
Signals, Measurements and
Transmission Channels
Editors:
Monica Billio
Loriana Pelizzon
Roberto Savona
June 2016
16. Main Deliverables – Conferences
4 Big Conferences 2 Workshops and 1 Special Session at EFMA Conference:
18. Research activity
A step-by-step process
Idiosyncratic
Risks
• We inspected idiosyncratic risks within the financial system thereby making clear the
main risk predictors and how these are related to:
a) Sovereign risk
b) Banks and other Financial Intermediaries risk
c) Non-Financial Corporates risk
Risk
connections
• We inspected both the two-way and multi-way risk connections among macro-sectors
(Sovereign, Bank & other Financial intermediaries, Non-Financial Corporates)
• We explored the main risk linkages and related transmission channels
• We proposed novel systemic risk measures
EWS
SYRTO Code
• We assemble an overall EWS to be used as risk barometer for each sector and
countries alike, identifying potential threats to financial stability
• We realized a “SYRTO Code”: a series of recommendations and prescriptions, on: (a)
how to prevent and minimize systemic risks; (b) the best coordination of macro and
micro-prudential responsibilities
19. Management
The management structure of SYRTO
Exploitation and
Dissemination Group
Primary Coordinator
Roberto Savona
European Commission
Executive Board
(Project Manager +
WP leaders)
WP 2
leader
WP 3
leader
WP 5
leader
WP 6
leader
WP 7
leader
WP 1
leader
WP 8
leader
WP 4
leader
WP 9
leader
Advisory Board
I. Scientific
II. Policy
Scientific Coordinators
Roberto Savona
Monica Billio
21. WP 2 – Data Collection
Data Center
We collect data in order to:
(i) Collect relevant information to monitor markets, financial institutions and the economy
(ii) Evaluate the severity of the risks impact, both considering individual and systemic risks
(iii) Realize a data management infrastructure where data are downloaded for empirical
analysis and model calibration
Data Management Infrastructure
The SYRTO data process is developed using the Konstanz Information Miner Platform (KNIME)
(www.knime.org). KNIME is an open-source platform based on the Eclipse Platform, which allows
the user to easily and intuitively manage modular data analysis environments.
22. WP 3 – Idiosyncratic Risk Mapping
Having the objective to detect the fundamental risk sources, we
focused on:
Idiosyncratic Risks
Sovereign risk
• Market’s reaction
following bad credit event
• Transmission shocks
within the European
CDSs, stock exchange
markets, and also
between the two
Banks & other FI risk
• Credit risk in a large
banking system
• Importance of the
interbank market
• Hedge fund market
• dark pools trading
Corporate risk
• Data mining tools on
corporate balance sheet
data with the main aim to
detect the best tools to
predict corporate defaults
23. WP 4-6 – Risk Connections
Risk connections among the system Sovereigns-Banks and other
Financial Intermediaries-Corporates (S-B&FI-C)
Two-way risk connections
Factor models with constant, time-
varying and stochastic coefficients
Multivariate stochastic volatility, to
be used a synthesis of bi-variate risk
Quantile regressions to equity
premium prediction
Multi-way risk connections
Multi-equation system with latent
variables
Network analysis
Data-mining techniques
24. WP 5 – Systemic Risk Indicators
Micro
Financial Institutions
Macro
Financial System
Aggregate/Disaggregate
Institutions ↔ System
Standard Measures
• Equity-side (CoVaR, …)
• Bond-side (CoRisk, ...)
New Measures
• Risk Ranking
• Markov-Switching
• Multivariate Stochastic
Volatility Model
Standard Measures
• Dynamic Granger Causality
• Principal Component Analysis
New Measures
• Normalized Ranking
• Joint Default Probs, Cycles
• Dynamic PCA & Factor Model
• Leading Indicators
Institutions → System
• Entropy Measures
• Stress indices & Panels
Institutions ← System
• Graphical Models
• Network Analysis
• Dynamic PCA & Factor Model
• Leading Indicators
31. SYRTO Code – 6 Take Aways
1. Models to give early warning signals of systemic crisis
2. Low financial stress levels are not synonymous of financial stability
3. Make hard decisions based on soft information
4. Manage the complexity of the financial system
5. There is evidence for a country specific financial role
6. Systemically important institutions are correctly identified
33. This project has received funding from the European Union’s
Seventh Framework Programme for research, technological
development and demonstration under grant agreement n° 320270
www.syrtoproject.eu
This document reflects only the author’s views.
The European Union is not liable for any use that may be made of the information contained therein.