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Athanassios Petralias, Petros Dellaportas have a new SYRTO Working Paper out.

In this paper, the authors investigate the impact of scheduled macroeconomic announcements on the volatility of exchange rates by introducing a flexible model formulation.

The Center for Financial Research at Waseda University (Tokyo, Japan), the Center on Sustainable Architecture for Finance (SAFE) at Goethe University Frankfurt (Frankfurt, Germany) and the NYU Stern Salomon Center for the Study of Financial Institutions (New York, US) are co-sponsors of the 1st International Conference on Sovereign Bond Markets (Tokyo, June 4-5, 2014).

The conference is focusing on Liquidity, Credit Risk and the Effectiveness of Central Bank Intervention. The final program will include submitted and invited papers, as well as a keynote speaker.

This conference is the first of a series of 3 conferences that will be held in the next two years with the goal of bringing together academics, practitioners, and policy-makers working in the area of sovereign bond markets. The three conferences are organized under the auspices of the CREDIT Network (Venice, Italy) and the SYRTO project.

For more detailed information, please refer to the website.

The first Policy Brief of the SYRTO Project is now available online.

This Policy Brief summarizes the first policy relevant findings from the initial stage of the project, and presents initial policy recommendations for macro-prudential policy and financial stability in the EU.

The policy implications from the initial results of the project regard in particular how policy makers should deal with the increased interconnectedness in financial markets and the whole economy and the need of an integration of monetary, fiscal, and financial stability policies rather than thinking to manage them in isolation.

André Lucas, professor of Finance at the VU University of Amsterdam, discussed an empirical framework to assess the likelihood of joint credit events at the Nederlands Mathematisch Congres (NMC 2014).
The framework builds on a new class of time varying parameter models that opens up a variety of interesting avenues for research, both mathematically and economically.

The SYRTO Working Paper Series is now available online.
The series is intended to convey work in progress and interim results of our ongoing research.

Julia Schaumburg, postdoctoral researcher for the SYRTO Project at VU University Amsterdam, presented a paper about systemic risk beta as a measure of financial companies’ contribution to systemic risk, given network interdependence between firms’ tail risk exposures at the at the CFE 2013 – 7th International Conference on Computational and Financial Econometrics.


Co-authors of the paper are Nikolaus Hautsch (University of Vienna) and Melanie Schienle (Leibniz University Hannover) .

On November 26 the SYRTO Project, jointly with the Department of Economics and Management of the University of Brescia, organised a Seminar on Financial Symmetry and Moods in the Markets.
Jorgen Vitting Andersen, Professor at the Centre National de la Recherche Scientifique (Paris, France), presented a theoretical framework for collective decision making to describe fluctuations and transitions in financial markets.

 Greta Associati organizes the 12th International Conference on Credit Risk Evaluation Designed for Institutional Targeting in finance. The conference takes place in Venice at the Scuola Grande di San Giovanni Evangelista on September 26-27 and it is organized in collaboration with Intesa Sanpaolo and Syrto Project.

The conference brings together academics, practitioners and PhD students working in the area of financial risk management. The conference focuses on Risk, Regulation and Opportunities in an Increasingly Interconnected World and provides an opportunity for participants to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research.

September 26 is devoted to the Syrto Project. During the day, some researchers of the consortium will discuss the results achieved until now and the primary coordinator will present the aims of the project and the working packages.

The Conference is organised under the auspices of the Department of Economics of the University Ca’ Foscari of Venice, ABI – Italian Banking Association and European Investment Bank Institute.

For more information, please visit the Greta website

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