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Centre for Central Banking Studies (CCBS) and Hong Kong Institute for Monetary Research (HKIMR)

Systemic Risk Modelling: Ideas and Methods

12 April 2011 (Tuesday) - 15 April 2011 (Friday)



12 April 2011
10:00 - 10:15 Event introduction and tour de table
Dr Kevin James, Senior Adviser: Financial Stability, Centre for
Central Banking Studies (CCBS), Bank of England

Dr Iryna Kaminska, Analyst, Scenario Design & Development Team,
Risk Assessment Division (RAD), Bank of England

10:15 - 11:30 Macroprudential modelling: a stocktake of tools and techniques
Iryna Kaminska
11:30 - 11:45 Break
11:45 - 13:15 Macroprudential Policy: A Skeptical View
Kevin James

13:15- 14:45 Lunch
14:45 - 16:00 Introduction to Mathematica
Kevin James

16:00 - 16:15 Break
16:15 - 17:15 Introduction to Network Models
Kevin James

18:00 - 20:00 Welcoming Dinner
13 April 2011
10:00 - 11:00 Constructing a Network Model
Kevin James/ Iryna Kaminska

11:00 - 11:15 Break
11:15 - 13:00 Introduction to Matlab
Iryna Kaminska

13:00 - 14:30 Lunch
14:30 - 16:00 RAMSI: An Overview
Iryna Kaminska

16:00 - 16:15 Break
16:15 - 17:00 Matlab, Mathematica Q&A (optional)
Kevin James and Iryna Kaminska

14 April 2011
10:00 - 12:00 RAMSI: The Macroeconomic Module
Iryna Kaminska

12:00 - 13:30 Lunch
13:30 - 14:45 RAMSI: The Credit Risk Module
Iryna Kaminska

14:45 - 15:00 Break
15:00 - 16:30 A Model of Funding Liquidity
Iryna Kaminska

15 April 2011
10:00 - 11:15 An Introduction to Bootstrapping
Kevin James

11:15 - 11:30 Break
11:30 - 12:45 Evaluating Systemic Risk Models
Kevin James

12:45 - 13:00 Seminar Close
13:00 - 14:00 Lunch


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