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.
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 (email@example.com).
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.