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Calendar

Sep
7
Mon
EABCN Training School on Term Structure Modeling and the Lower Bound Problem @ Florence, EUI
Sep 7 – Sep 9 all-day
EABCN Training School on Term Structure Modeling and the Lower Bound Problem @ Florence, EUI | Firenze | Toscana | Italy

Background

The Euro Area Business Cycle Network (EABCN) provides a forum for the better understanding of the Euro area business cycle, linking academic researchers and researchers in central banks and other policy institutions involved in the empirical analysis of the Euro area business cycle.

 

About this course

The 23rd EABCN training school was a three days course on ‘Term Structure Modeling and the Lower Bound Problem’ taught by Dr Jens Christensen (Federal Reserve Bank of San Francisco). The course covered the most recent literature on how to model the term structure of bond yields including challenges posed by the asymmetric behavior of yields near their lower bound.

 

Course instructor

Jens Christensen is a senior economist in the Financial Research Section of the Federal Reserve Bank of San Francisco, which he joined in 2006 after receiving his PhD in finance from Copenhagen Business School. He also holds an MSc in economics from the University of Copenhagen. His research interests include credit risk modeling, credit risk management, and interest rate term structure modeling. His research in this area is widely cited and has been published in leading academic journals such as the Economic Journal, the Journal of Business and Economic Statistics, the Journal of Econometrics, the Journal of Financial Econometrics, and the Journal of Money, Credit, and Banking amongst others. Finally, he is a frequent presenter at international conferences on issues related to sovereign bond markets and monetary policy.

Call for papers

EABCN-EUI training course: Term structure models and the zero lower bound @ Sala Europa, Villa Schifanoia
Sep 7 @ 9:00 am – Sep 9 @ 7:00 pm

The course will cover the most recent literature on how to model the term structure of bond yields including the challenges posed by the asymmetric behavior of yields near their lower bound. Jens Christensen will teach the course. It is primarily aimed at participants in the Euro Area Business Cycle Network but applications will also be considered from doctoral students, post-doctoral researchers and economists working in central banks and government institutions outside of the network, as well as commercial organisations (fees applicable for non-network organisations).

Organiser: Prof. Massimiliano Marcellino – Bocconi University

Speaker: Jens Christensen – Federal Reserve Bank of San Francisco

 

Call for Application

Feb
16
Thu
Legal Aspects of Liquidity Coverage Ratio, Net Stable Funding Ratio and The Internal Liquidity Adequacy Assessment Process @ Teatro, Badia Fiesolana
Feb 16 – Feb 17 all-day
Legal Aspects of Liquidity Coverage Ratio, Net Stable Funding Ratio and The Internal Liquidity Adequacy Assessment Process @ Teatro, Badia Fiesolana | San Domenico, Fiesole | Toscana | Italy

Course instructor: Bart Joosen (University of Amsterdam)
Area: Supervision and Resolution
Level: Intermediate

This training course will:

  • bring a close reading of the LCR Regulation and analyses the various topics concerning liquidity inflows and outflows
  • explore the dependencies of the LCR Regulation with the legislative framework for covered bonds, securitisation and deposit guarantee schemes
  • analyse, in a separate close reading session, the EBA Guidelines on ICAAP and ILAAP information collected for SREP purposes
  • address the forthcoming NFSR rules as well as the interaction of those rules with the LCR framework

The course is targeted, among others, at EU Officials (ECB, SSM, SRB, ESRB, EBA, ESM), Senior Policy Officers aand Legal officers of Prudential Supervisors/National Central Banks. It is expected that the course participants have a degree in Law or Social Sciences, and prior knowledge of European capital and liquidity regulation.

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Mar
8
Wed
Macroprudential Policy: Promise and Challenges @ Conference Room, Villa La Fonte
Mar 8 – Mar 10 all-day
Macroprudential Policy: Promise and Challenges @ Conference Room, Villa La Fonte | Fiesole | Toscana | Italy

Course Instructor: Enrique G. Mendoza (University of Pennsylvania)
Area: Financial Stability and Regulation
Level: Intermediate/Advanced
Deadline for registrations: 14 February 2017

This course will focus on the following topics:

  • A primer on financial markets modeling in open economy models and fundamentals of macro models of financial crises
  • Stylized facts of credit booms and Sudden Stops
  • Collateral constraints and the case for Macroprudential policy
  • Quantifying the effectiveness of optimal v. simple financial policy rules in Sudden Stop models
  • Time-inconsistency in the conduct of macropudential policy
  • The interaction between monetary and financial policies (Tinbergen’s rule and the need for coordination)

This course is targeted at financial stability and research departments of Central Banks, Ph.D. students, research departments of private banks, and EU Officials (e.g. ECB, SSM, SRB). Participants are expected to have a degree in Economics and to be proficient in mathematics, statistics and macro-modeling.

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Mar
21
Tue
Measuring and Managing Systemic Risk @ Cappella, Villa Schifanoia
Mar 21 – Mar 23 all-day
Measuring and Managing Systemic Risk @ Cappella, Villa Schifanoia | Firenze | Toscana | Italy

Course Instructor: Gianni De Nicolò (International Monetary Fund and FBF)
Area: Risk Management
Level: Intermediate
Deadline for registrations: 7 March 2017

This course will focus on the following topics:

  • Value at Risk (VAR) and market based measures of systemic risk
  • Measures of systemic importance (COVAR, Network analysis)
  • Identification of Systemically Important Financial Institutions (SIFIs)
  • Contagion and network externalities

This course is targeted at financial stability and research department of Central Banks, Ph.D. students, private sector economists, EU officials. Participants are expected to hold a BA (or equivalent) in Economics and to have a basic understanding of statistics and econometrics.

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Apr
19
Wed
Empirical Methods to Evaluate Financial Regulation @ Sala Europa, Villa Schifanoia
Apr 19 – Apr 20 all-day
Empirical Methods to Evaluate Financial Regulation @ Sala Europa, Villa Schifanoia | Firenze | Toscana | Italy

Course Instructor: Steven Ongena (University of Zurich)
Area: Financial Stability and Regulation
Level: Intermediate/Advanced
Deadline for registrations: 29 March 2017

This course will focus on the following topics:

  • Current research methodologies used in empirical banking, with a special emphasis on inter-temporal and cross-sectional methods (e.g. matching)
  • Techniques: Heteroskedastic Modelling, Duration Analysis and Applications, Matching, Difference-in-Difference, Event Studies and Applications, Elements of an Identification Strategy

This course is targeted at Financial stability and research department of Central Banks, Ph.D. students in Economics, Banking or Econometrics, and economists in the private sector. Participants are expected to have a degree in Economics and to be proficient in mathematics, statistics and modelling (an intermediate level in micro and macroeconomics, as well as in applied econometrics, is required to follow this course).

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Jun
7
Wed
Advances in the Computational Methods for Models with Occasionally Binding Constraints @ Cappella, Villa Schifanoia
Jun 7 all-day
Advances in the Computational Methods for Models with Occasionally Binding Constraints @ Cappella, Villa Schifanoia | Firenze | Toscana | Italy

Course Instructors: Fabio Canova (BI), Wouter den Haan (LSE), Junior Maih (Norges Bank)
Area: Statistical and Econometric Methods
Level: Intermediate/Advanced
Deadline for registrations: 17 May 2017

This course will focus on the following topics:

  • Piecewise linear solution. Maximum Likelyhood and Bayesian estimation
  • Solution and simulation of regime-switching DSGE models; exogenous and endogenous switching; occasionally-binding constraints
  • Numerical integration: splines, fixed point and time iteration
  • Projection techniques for models with occasionally binding constraints

This course is targeted at financial stability officers, research department officers, Ph.D. students, and research department officers of private banks. Participants are expected to have a degree in Economics and to be proficient in mathematics, statistics and modelling.

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Sep
7
Thu
Early Warning Systems @ House of Finance, Goethe University
Sep 7 – Sep 8 all-day
Early Warning Systems @ House of Finance, Goethe University | Frankfurt am Main | Hessen | Germany

Course Instructors: Gianni De Nicolò (FBF and IMF), Fabio Canova (FBF and BI Norwegian Business School), Manfred Kremer (ECB)
Area: Financial Stability and Regulation
Level: Intermediate/Advanced

This course will focus on the following topics:

  • Introduction to tail risk measures; VaR and CoVaR
  • Expected Systemic shortfall (SES) and other risk measures
  • Logit and Receiving operation characteristic (ROC) models
  • Networks, connectedness, and risk interdependences

This course is targeted at Financial stability and research department of Central Banks, Ph.D. students, Research department of private banks, and EU officials. Participants are expected to have a degree in Economics and to be proficient in mathematics, statistics and macro-modelling.

Click here for further information and registration

Oct
9
Mon
Bank Regulation and Systemic Risk @ Teatro, Badia Fiesolana
Oct 9 – Oct 11 all-day
Bank Regulation and Systemic Risk @ Teatro, Badia Fiesolana | Fiesole | Toscana | Italy

Course Instructor: Jean Charles Rochet (University of Zurich)
Area: Financial Stability and Regulation
Level: Intermediate/Advanced

This course will focus on the following topics:

  • The objectives of prudential regulations
  • Capital regulation for banks: static and dynamic models
  • Bank runs and the Lender of Last Resort
  • Systemic risk and contagion
  • Bank resolution and Total Loss Absorbing Capacity

This course is targeted at Financial stability and research department of Central Banks, Ph.D. students, Research departments of private banks, and EU officials. Participants are expected to be familiar with basic banking and finance models and to have some understanding of dynamic optimization and of basic simulation techniques.

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Oct
30
Mon
Regulation of Shadow Banks @ University of Amsterdam
Oct 30 – Oct 31 all-day
Regulation of Shadow Banks @ University of Amsterdam | Amsterdam | Noord-Holland | Netherlands

Course Instructors: Enrico Perotti, Bart Joosen and Roger Laeven (University of Amsterdam); Iman van Lelyveld (Free University of Amsterdam and DNB)
Area: Financial Stability and Regulation
Level: Intermediate

This course will focus on the following topics:

  • Financial and prudential aspects, with some attention to its legal underpinnings.
  • Shadow banking understood as a financial segment that expands and contracts credit outside the regulatory perimeter.
  • Key elements of shadow banking regulation as well as emerging issues related to their relevance for macro-prudential policy.
  • European (as well as some US) legislation on insurance companies, money mutual funds and central clearing platforms for derivatives.
  • Review of typical shadow banking funding and lending strategies such as secured credit and security lending.

This course is targeted at Financial Stability officers, Research department officers, Ph.D. and Post-doctoral researchers, Assistant Professors, Research department of private banks, EBA, SSM, SRB, ESRB, EU officials. Participants are expected to have a degree in Social Sciences and to have a general command of EU financial regulation.

Click here for further information and registration