Programme

Session B12: Methodologies and challenges for financial market indicators
DescriptionFinancial risk measures and composite indicators; Methodologies and challenges to stay on the curve.
OrganisersPer Nymand-Andersen (European Central Bank)
János Gerendás (Magyar Nemzeti Bank)
ChairAurel Schubert (European Central Bank)
Presentation #1CISS – A Portfolio-Theoretic Framework for the Construction of Composite Financial Stress Indexes
Manfred Kremer (European Central Bank Research)
Presentation #2Initial statistical findings on the new Money Market Statistical Reporting (MMSR)
Gemma Agostoni (European Central Bank)
Plamen Petrunov (Bulgarian National Bank)
Josep Maria Puigvert (European Central Bank)
Ronald Rühmkorf (European Central Bank)
Presentation #3Towards a More Accurate Measurement of Financial Stress: Revamping the Hungarian System-Wide Financial Stress Index (SWFSI)
Dr. Katalin Varga (Magyar Nemzeti Bank)
Tibor Szendrei (Magyar Nemzeti Bank)

Back to programme »