syrto project: contents, objectives and structure - roberto savona - june 25 2013
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Syrto Project: Contents, Objectives and Structure - Roberto Savona - June 25 2013 - First International Conference on Syrto ProjectTRANSCRIPT
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SYRTO Project:Contents, Objectives, and Structure
SYstemic Risk TOmography:Signals, Measurements, Transmission Channels, and Policy Interventions
Roberto SavonaDepartment of Economics and ManagementUniversity of Brescia
Brescia, 25 June 2013
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Agenda
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Agenda
Objectives Structure Timeline EWS SYRTO Code
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Objectives
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Objectives
Sovereigns Banks and other Financial
Intermediaries (BFIs)
Corporations
Focusing on the European Union we explores the relationships between (and among)
S–BFIs–C
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Objectives
Identify the common and the sector-specific (idiosyncratic) risks, and assemble a web-based Early Warnings System (EWS) to be used as:
Risk Barometer for each sector and countries alike, in order to identify potential threats to financial stability
a system of Rules of Thumb by monitoring a series of leading indicators so as to minimise the possible negative impacts from systemic crises
Two main objectives
1. EWS
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Objectives
Realize SYRTO Code in order to detect a series of recommendations, also expressed in terms of EWS prescriptions, on
the appropriate governance structures for EU to prevent and minimise systemic risks
the best mechanisms for ensuring an effective interplay between, and coordination of, macro and micro-prudential responsibilities
Two main objectives
2. SYRTOCode
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Structure
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StructureWho we are
CONSORTIUMI. University of BresciaII. Centre National de la Recherche Scientifique (CNRS) III. Athens University of Economics and Business – Research Center IV. University Cà Foscari VeniceV. University of Amsterdam Stichting VU-VUMC (VUA)
ADVISORY BOARDI. Scientific Division
A. Research UnitB. Supervisory Unit
II. Policy Division
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StructureHow do we do? The research activity is articulated in Work Packages (WPs)
Data Collection(1) Data center(2) Data mgmt
WP 2 - Venice
Idiosyncratic RiskMappingRisk sources for S–BFIs–C
WP 3 – CNRS
Two-way RiskConnectionsRisk connections for S–BFIs–C
WP 4 – Athens
Systemic RiskIndicatorsNew measurement approaches and indicators for systemic risk(s)
WP 5 – Venice
Joint RiskConnectionsMultidimensional risk connections for S–BFIs–C
WP 6 – VUA
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Structure
Data Collection(1) Data center(2) Data management
WP 2 - Venice
Idiosyncratic RiskMappingRisk sources for S–BFIs–C
WP 3 – CNRS
Two-way RiskConnectionsRisk connections for S–BFIs–C
WP 4 – Athens
Systemic RiskIndicatorsNew measurement approaches and indicators for systemic risk(s)
WP 5 – Venice
Joint RiskConnectionsMultidimensional risk connections for S–BFIs–C
WP 6 – VUA
EWSRealization of a web-based Early Warnings System with Risk Reports
WP 7 – Brescia
SYRTO Code(1) EU Governance(2) Micro-/macro-prudential supervision
WP 8 – Brescia
… and all WPs have been conceived as a step-by-step process to realize the 2 main objectives
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Timeline
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TimelineMarch 2013 – February 2016SYRTO project Months 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36
WP1 MANAGEMENT T1.1 Overall Project coordinationT1.2 Scientific and technical coordinationT1.3 Administrative and financial coordinationT1.4 Project document repositoryT1.5 Project meetingsT1.6 ReportsT1.7 Monitoring and quality controlT1.8 IPR Management
WP9 COMMUNICATIONT9.1 Realization of a websiteT9.2 Conferences and meetingsT9.3 Scientific networking
Milestones M1 M2 M3
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TimelineMarch 2013 – February 2016SYRTO project Months 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36
WP1 MANAGEMENT T1.1 Overall Project coordinationT1.2 Scientific and technical coordinationT1.3 Administrative and financial coordinationT1.4 Project document repositoryT1.5 Project meetingsT1.6 ReportsT1.7 Monitoring and quality controlT1.8 IPR Management
WP2 DATA COLLECTIONT2.1 Realization of a Data CenterT2.2 Realization of a data-management infrastructure
WP3 IDIONSYNCRATIC RISK MAPPINGT3.1 Identiication of the fundamental risk sources
WP4 TWO-WAY RISK CONNECTIONS ELICITATIONT4.1Exploration of the two-way causal relations
WP5 SYSTEMIC RISK INDICATORST5.1 Linkages and vulnerability of the vinancial systemT5.2 Bi-variate risk relationshipT5.3 Empirical analysis of bi-variate risk relationship
WP6 JOINT RISK CONNECTION ELICITATIONT6.1 The connection between financial-economic linkages and shocks
WP7 EARLY WARNING SYSTEM IMPLEMENTATIONT7.1 Realization of the Early Warning SystemT7.2 Construction of a web platform
WP8 SYRTO CODET8.1 Policy, monetary, and regualtory implication of systemic risksT8.2 Realization of the SYRTO Code
WP9 COMMUNICATIONT9.1 Realization of a websiteT9.2 Conferences and meetingsT9.3 Scientific networking
Milestones M1 M2 M3
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EWS
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EWSStep 1: Approaches to identify risks and vulnerabilities
Dynamic Conditional Correlations Copula functions and copula-based models Principal Component Analysis Regime-switching models Frailty models Dynamic latent component analysis Granger causality tests Shrinkage-based regressions Latent Class Analysis Contingent Claim Analysis (CCA) Dynamic Factor Models of Tail Risks
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EWSStep 2: Risk Dashboard – Jointly with ECB (MaRS)
Sovereign Risks Bank Risks Corporate Risks Market Risks Credit Risks Funding and Liquidity Risks Policy Uncertainty Interlinkages Composite measures Monetary and Policy Intervention Perception
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EWSStep 3: Risk Thresholds and Warning Signals
Regression Trees CRAGGING (Vezzoli – Stone) Heat Maps …
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SYRTO code
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SYRTO CodeThe objective is to realize a SYRTO Code collecting a series of recommendations and prescriptions on:
governance structures monetary and fiscal systems interactions micro-/macro-prudential responsibilities
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SYRTO CodeThe Code will be articulated in three main chapters:
Chapter I: Prevention
Identification of a series of rules of thumbs in order to limit the triggers of systemic risk
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SYRTO CodeThe Code will be articulated in three main chapters:
Chapter I: Prevention
Identification of a series of rules of thumbs in order to limit the triggers of systemic risk
Chapter II: Mitigation
Limiting systemic shocks transmission and prevent conflicts of interest and ineffective policy interventions
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SYRTO CodeThe Code will be articulated in three main chapters:
Chapter I: Prevention
Identification of a series of rules of thumbs in order to limit the triggers of systemic risk
Chapter II: Mitigation
Limiting systemic shocks transmission and prevent conflicts of interest and ineffective policy interventions
Chapter III: Stabilization
Ex post policy interventions to stabilize the Euro system
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SYRTO CodeMonetary and Policy Intervention Perceptions (for European citizens)
Using recent techniques used to measure the job satisfaction pertaining to Rasch Rating Scale Model, and based on data from EC (Eurobarometer qualitative surveys), we will try to identify potential areas of improvement of the macro-prudential policy making process
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This project is funded by the European Union under the
7th Framework Programme (FP7-SSH/2007-2013) Grant Agreement n°320270
!!!!!!!
www.syrtoproject.eu
This document reflects only the author’s views. The European Union is not liable for any use that may be made of the information contained therein.