Economic shocks and contagion in the euro area banking sector: a new micro-structural approach
A realistic and transparent modelling of the dynamics leading to financial and economic distress is of paramount importance to both the supervisor and the policymaker: to the former for identifying vulnerabilities in the system, to the latter for a more reliable and in-depth understanding of the outcome of new regulations. With this in mind, we make an extensive collection and reconciliation of large granular datasets, providing entity level information, and permitting the reconstruction of the Euro Area banking sector. We further impose dynamics on the resulting network through a microstructural model allowing for the description of different mechanisms of contagion and their interactions, as well as for the derivation of accurate measures of systemic risk. This modelling framework provides a starting point for diverse policy applications regarding macroprudential measures, including tools for the identification and analysis of sources of systemic risks.

About the Speakers:
Mattia is Principal Financial Stability Expert within the Directorate General Macroprudential Policy and Financial Stability of the European Central Bank. As part of his roles, he also leads the Banking Interconnectedness Coordination Group, an internal multidisciplinary team of quantitative researchers interested in the study of the implications of networks’ topologies on systemic risk.

Luca is a member of the Banking Interconnectedness Coordination Group in the Directorate General Macroprudential Policy and Financial Stability at the ECB. He works as modeller and developer on microstructural approaches for the study of systemic risk and contagion within the Euro Area banking system.
Date: 19 November 2019, 16:30 (Tuesday, 6th week, Michaelmas 2019)
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Seminar room G
Speaker: Mattia Montagna & Luca Mingarelli ( European Central Bank)
Organising department: Institute for New Economic Thinking
Organiser: Dorothy Nicholas (INET Oxford)
Organiser contact email address: complexity@inet.ox.ac.uk
Booking required?: Required
Booking email: complexity@inet.ox.ac.uk
Audience: Members of the University only
Editor: Susan Mousley