5 September 2014 - This is a Blog update

2014 Greta conference

Greta Associati organizes the 13th International Conference on Credit Risk Evaluation Designed for Institutional Targeting in finance. This year the conference focuses on The New Financial Regulatory System: Challenges and Consequences for the Financial Sector and will provide 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.

 

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The conference takes place in Venice at the Scuola Grande di San Giovanni Evangelista on September 25-26.

 

The co-sponsors of the Conference are GRETA Associati (Venice, Italy), Research Center SAFE at Goethe University Frankfurt (Frankfurt, Germany), Intesa Sanpaolo (Milan, Italy) and SYRTO project. 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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5 September 2014 - This is a Blog update

SYRTO Working Paper Series: Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models

A new SYRTO Working Paper by Francisco Blasques, Siem Jan Koopman, Andre Lucas and Julia Schaumburg is now available online.

The authors introduce a new model for time-varying spatial dependence adopted to empirically investigate the spatial dependence between eight European sovereign CDS spreads over the period 2009–2014, which includes the European sovereign debt crisis.

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3 September 2014 - This is a Blog update

SYRTO Working Paper Series: Mutual Funds Dynamics and Economic Predictors

A new SYRTO Working Paper by Gianni Amisano and Roberto Savona is out.

In this work, the authors propose a new Bayesian time-varying CAPM-based beta model to analyse how mutual funds’ managers use predictors to change their betas in the short and medium run.

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27 August 2014 - This is a Blog update

SYRTO Working Paper Series: A Quantile Regression Approach to Equity Premium Prediction

Loukia Meligkotsidou, Ekaterini Panopoulou, Ioannis D.Vrontos, Spyridon D. Vrontos have a new SYRTO Working Paper out.

 

In their work, the authors propose a quantile regression approach to equity premium forecasting. Their approach using a time-varying weighting scheme delivers statistically and economically signi…cant out-of-sample forecasts relative to both the historical average benchmark and the combined predictive mean regression modeling approach.

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4 July 2014 - This is a Blog, SYRTO Code Workshop update

Pics from the SYRTO Code Workshop

 

Take a look at the pictures of the SYRTO Code Workshop.

 

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4 July 2014 - This is a Blog, SYRTO Code Workshop update

SYRTO Code Workshop: Session 3 – Stabilization

Materials of the SYRTO Code Workshop’s third Session “Stabilization: Monetary Policy; Fiscal Austerity” are now available online.

 




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3 July 2014 - This is a Blog, SYRTO Code Workshop update

SYRTO Code Workshop: Session 2 – Mitigation

Materials of the SYRTO Code Workshop’s second Session “Mitigation: Credit Cycle; Financial & Structural Linkages” are now available online.

 



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3 July 2014 - This is a Blog, SYRTO Code Workshop update

SYRTO Code Workshop: Session 1 – Prevention

Materials of the SYRTO Code Workshop’s first Session “Prevention: Financial and Real Economy Connections, Systemic Risk Indicators and Early Warning Systems” are now available online.

 


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3 July 2014 - This is a Blog, SYRTO Code Workshop update

SYRTO Code Workshop: data management

Michele Costola, research fellow at the Ca’ Foscari University of Venice, presented the goals and the infrastructure of the SYRTO project data center at the SYRTO Code Workshop (Frankfurt – July, 2 2014).

 

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3 July 2014 - This is a Blog, SYRTO Code Workshop update

SYRTO Code Workshop – July, 2 2014

On July 2, 2014, the SYRTO project team organized a workshop on systemic risk policy issues in Frankfurt, together with Bundesbank, ECB, and ESRB. The aim of the workshop was to discuss with researchers and experts the main provisional results of the SYRTO project, and to select the most relevant topics for the SYRTO Code.

 

The program of the workshop is available here.

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