Event Agenda
what the course will include
Event Speaker:
- Kimmo Soramäki, Founder and CEO, Financial Network Analytics and founding Editor-in-Chief, The Journal of Network Theory in Finance
Day One | Wednesday 5th December 2018
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09:00
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Coffee and Registration
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09:30
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Session 1: Network Analytics – the State of the Art
- Introduction to Network Theory and overview of the training course
- Applications of Network Theory in Finance and beyond: Risk Exposure Diagnostics, Market Correlation Detection, Payment Analytics, FMI Design and Oversight
- Presentation and demonstration of FNA’s software featuring a real time graph analytics engine and advanced configurable dashboard for visual investigation of complex data
- Overview of scenario generation exercises through visual detection of anomalies in market dynamics; reverse as well as forward-looking stress testing
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11:00
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Coffee Break
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11:30
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Session 2: Exposure Networks and Stress Testing
- Focus on practical application of network analytics in measuring, mapping and modelling of financial exposures
- Network analysis of trade repository data and identification of systemically important financial institutions
- Understanding complex instruments that may hide substantial risks - as highlighted by the agent-based models in the Financial Crisis
- Hands-on use of interactive dashboards in relation to Case Studies of e.g. CBMX index, Bank for International Settlement’s bank’s country risk exposure
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13:00
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Lunch
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14:00
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Session 3: Correlation Maps – a Systemic View of Financial Markets
- Presentation of advanced correlation maps visualising interconnectivity of markets
- Focus on Value at Risk analytics and outlier detection
- Development of early warning signals through monitoring of interconnected market dynamics and visual
- Statistical identification of hidden patterns in complex data
- Hands on use of dashboards for Case Studies of eg, US Housing Bubble and Crisis
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15:30
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Coffee break
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16:00
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Session 4: Stress testing Correlation Networks
- Focus on financial markets as a complex system with numerous measurable interdependencies.
- Production of 'what if' scenarios to predict movements of markets under stress.
- Stress testing correlation structures.
- Hands on use of interactive dashboards in relation to Case Studies of eg Brexit Referendum and US Presidential Election
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17:00
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End of day one
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Day Two | Thursday 6th December 2018
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08:30
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Coffee
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09:00
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Session 5: Using network simulations to design FMIs
- Modelling FMIs as complex systems with Agent Based Modelling
- Measuring liquidity efficiency
- Developing new Liquidity-Saving Mechanisms
- Hands on use of interactive dashboards in relation to Case Studies of eg.. CLS, LVTS, CHAPS
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10:30
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Coffee break
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11:00
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Session 6: Diagnostic analytics: Detection and investigation of Financial Crime
- Improving fraud detection and AML with network theory
- "Following the money" in manual investigation of financial crime
- Identification of DDoS attack patterns through real time detection of anomalies in cyber-networks
- Hands on use of interactive dashboards in relation to Case Studies
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12:30
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Lunch
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| 13:30 |
Session 7: Monitoring FMIs and their Members for liquidity, solvency and systemic risk
- Using payment data to measure liquidity and solvency of financial institutions
- Real-time monitoring and outlier detection
- Interconnectedness of CCPs
- Hands on use of dashboards in relation to Case Studies of e.g. Banco de la República, CLS, Bank of Korea
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15:00
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Coffee break
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15:30
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Session 8: Stress Testing FMIs
- Developing stress scenarios (participant failure, operational issues, etc.)
- Using Agent Based Simulations to evaluate different stress scenarios
- Running Simulations
- Hands on use of interactive dashboards in relation to Case Studies
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17:00
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Coffee break
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| 17:15 |
Session 9: Course conclusion: the next steps for network analytics
- Where regulators are (and will be) using network theory – and requiring it
- Review of key takeaways from earlier sessions
- “Tomorrow’s” themes, trends and opportunities
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| 18:15 |
End of course
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