We are delighted to announce that our FNAtics Adam Csabay, Kimmo Soramäki, and Ivana Ruffini have been invited to contribute to Risk.net’s newest title ‘Data Science in Economics and Finance for Decision Makers’.

This in depth guide to the future of data and modelling provides the latest insights on data-science tools and methods. A must-read as digital data becomes increasingly essential to make informed and sustainable choices. They will be collaborating with our academic partners Mikhail Oet from Northeastern University and Tuomas Takko from Aalto University to contribute a chapter on Network Analytics and Stress Testing.

Read an excerpt of the chapter below:

‘Prudential stress testing in financial networks is important because it gives organizations insight and knowledge about unobservable sources and critical means of controlling systemic risk that is otherwise not known to them. The key sources of unobservable systemic risk include the indirect network effects of the behavior and choices of people and institutions and the markets that they operate in. These can be measured by understanding their interconnectedness from structured and unstructured data sets. The key elements of control are the mechanisms by which systemic effects manifest in financial networks: default contagion, distress contagion, common assets contagion, and funding liquidity contagion. The key types of prudential questions that organizations can answer shed light on perturbations in networks centering on 1) microprudential (organizational) and macroprudential (systemic) risks. The microprudential stress testing addresses risk from credit, operational, market, or liquidity activities. The macroprudential stress testing addresses risks from systemic imbalances in risk, credit, operational, market, interest-rate, liquidity and structure concentrations, connectivity, and contagion. This chapter makes two contributions. First, we provide a taxonomy of organizational problems facing organizations operating in financial networks. Second, we provide a comprehensive approach to the information system design addressing stress testing in networks…’

To read the rest of the chapter, find Risk.net’s complete title here: Data Science in Economics and Finance for Decision Makers.


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