Financial Stability Analysis: Using the Tools, Finding the Data

The OFR and the Federal Reserve Bank of Cleveland sponsored this conference at the Federal Reserve Board in Washington, D.C. The event focused on the data and tools needed for measuring and responding to potential threats to financial stability.

Papers and Presentations

Day One: Thursday, May 30

Financial Stability Indexes

SAFE: An Early Warning System for Systemic Banking Risk

Mikhail Oet, Federal Reserve Bank of Cleveland
Timothy Bianco, Federal Reserve Bank of Cleveland
Dieter Gramlich, Baden-Wuerttemberg Cooperative State University
Stephen Ong, Federal Reserve Bank of Cleveland

CISS—A Portfolio-Theoretic Framework for the Construction of Composite Financial Stress Indices

Daniel Holló, Magyar Nemzeti Bank
Manfred Kremer, European Central Bank
Marco Lo Duca, European Central Bank

An Early Warning System for Financial Stress Events

Ian Christensen, Bank of Canada
Fuchun Li, Bank of Canada
Discussant: Seth Pruitt, Board of Governors of the Federal Reserve System

Economics of Risk Data

Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality

Mark Flood, Office of Financial Research
Jonathan Katz, University of Maryland
Stephen Ong, Federal Reserve Bank of Cleveland
Adam Smith, Pennsylvania State University

Improving Systemic Risk Monitoring and Financial Market Transparency: Standardizing the Representation of Financial Instruments

Allan Mendelowitz, Deloitte Consulting
Willi Brammertz, University of Zurich/ETH
Khaldoun Khashanah, Stevens Institute of Technology

Mandatory Registration and Return Misreporting by Hedge Funds

Stephen Dimmock, Nanyang Technological University
William Gerken, University of Kentucky

Discussant: Peter Bloniarz, University at Albany, State University of New York

Panel Discussion 1

Transparency in Practice: Some Diverse Perspectives

Moderator: Mark Flood, Office of Financial Research


Alye Foster, Board of Governors of the Federal Reserve System
Hudson Hollister, Data Transparency Coalition
Mallesh Pai, University of Pennsylvania
Linda Powell, Office of Financial Research

Networks and Contagion

Optimal Systemic Risk Mitigation in Financial Networks

Agostino Capponi, Purdue University Peng-Chu Chen, Purdue University

A Network Model Approach to Systemic Risk in the Financial System

Shaun Wang, Georgia State University
Han Chen, Risk Lighthouse LCC

Efficiency and Stability of a Financial Architecture with Too Interconnected to Fail Institutions

Michael Gofman, University of Wisconsin–Madison


Kartik Anand, Bank of Canada

Day Two: Friday, May 31

Financial Stability and Aggregate Credit

Predicting Distress in European Banks

Frank Betz, European Investment Bank
Silviu Oprica, European Central Bank
Tuomas Peltonen, European Central Bank
Peter Sarlin, Abo Akademi University

The Credit-to-GDP Gap and Complementary Indicators for Macroprudential Policy: Evidence from the UK

Julia Giese, Bank of England
Henrik Andersen, Norges Bank
Oliver Bush, Bank of England
Christine Castro, Banco de Espana
Marc Farag, Bank of England
Sujit Kapadia, Bank of England

Equilibrium Credit: The Reference Point For Macroprudential Supervisors

Daniel Buncic, Institute of Mathematics and Statistics, University of St. Gallen
Martin Melecky, The World Bank


Rochelle Edge, Board of Governors of the Federal Reserve System

Financial Stability and Banks

Measuring Liquidity Mismatch in the Banking Sector

Jennie Bai, Federal Reserve Bank of New York
Arvind Krishnamurthy, Kellogg School of Management, Northwestern University
Charles-Henri Weymuller, Harvard University

Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

Andre’ Lucas, VU University Amsterdam
Bernd Schwaab, European Central Bank
Xin Zhang, Sveriges Riksbank

Vulnerable Banks

Robin Greenwood, Harvard University and NBER
Augustin Landier, Toulouse School of Economics
David Thesmar, HEC Paris and CEPR


Camelia Minoiu, International Monetary Fund

Panel Discussion 2

Applying the Data and Tools: Development of Macroprudential Policy for Financial Stability


Mark Sniderman, Federal Reserve Bank of Cleveland


Robert Avery, Federal Housing Finance Agency
Andreas Lehnert, Board of Governors of the Federal Reserve System
Harry Mamaysky, Citigroup
Mila Getmansky Sherman, University of Massachusetts Amherst