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