5 March 2016 - This is a Blog update

Final Policy Brief – February 2016

The final SYRTO Policy Brief is now available online.

 

This Policy Brief outlines the most important policy lessons for governance and coordination of macro-prudential policies aimed at systemic risk. The policy implications and recommendations are summarized in six takeaways for policy makers.

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2 March 2016 - This is a Blog, Final update

SYRTO Final Conference Pictures

Take a look at the pictures of the SYRTO Final Conference.

 

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26 February 2016 - This is a Blog, Final update

SYRTO Final Conference: Key Note Speakers

Materials of the Lecture on Financial Regulation by Simone Manganelli (ECB) are now available online.

 

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26 February 2016 - This is a Blog, Final update

SYRTO Final International Conference: materials of the 4th session

Materials of the 4th session of SYRTO Final International Conference are now available online.

 

 

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26 February 2016 - This is a Blog, Final update

SYRTO Final International Conference: materials of the 3rd session

Materials of the third session of SYRTO Final International Conference are now available online.

 

 


 

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26 February 2016 - This is a Blog, Final update

SYRTO Final International Conference: materials of the 2nd session

Materials of the second session of SYRTO Final International Conference are now available online.

 

 

 

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26 February 2016 - This is a Blog, Final update

SYRTO Final International Conference: materials of the 1st session

Materials of the first session of SYRTO Final International Conference are now available online.

 


 


 

 

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1 February 2016 - This is a Blog, Final update

SYRTO Final International Conference

The Université Paris1 Panthéon‐Sorbonne and the SYRTO team are glad to announce the Final international conference on the “SYRTO Project: SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions”, funded by the European Union under the 7th Framework Programme.

 

The primary results of the SYRTO project—including the SYRTO Code and the Early Warning Platform—will be discussed during the conference.
The conference will be held at the Université Paris1 Panthéon‐Sorbonne on February 19, 2016.

 

The conference is addressed to academics, students, regulators and practitioners.
The conference programme is available here.

 

For registration, please contact Philippe de Peretti by February 10, 2016 (philippe.de-peretti@univ-paris1.fr).

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13 October 2015 - This is a Blog update

SYRTO Working Paper Series: 2 new papers available online

Two new SYRTO working papers are now available online.

In Global Credit Risk: World, Country and Industry Factors, Bernd Schwaab, Siem Jan Koopman and André Lucas investigate the dynamic properties of systematic default risk conditions for firms from different countries, industries, and rating groups. The authors use a high-dimensional nonlinear non-Gaussian state space model to estimate common components in corporate defaults in a 41 country sample between 1980Q1-2014Q4, covering both the global financial crisis and euro area sovereign debt crises.

 

In The Information in Systemic Risk Rankings, Federico Nucera, Bernd Schwaab, Siem Jan Koopman and André Lucas propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. The authors applied their methodology to disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently proposed.

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7 July 2015 - This is a efma update

EFMA Special session – SYRTO Presentations

Have a look at the presentations made by our researchers at the European Financial Management Association 2015 Annual Meetings – SYRTO Special Session.

 

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