Christoph Siebenbrunner

"Methods for Financial Stability Analysis"

(MPI-SWS in Kooperation mit dem Fachbereich Informatik)

We present a number of methods used by central banks and regulatory authorities to assess the stability of the financial system, including stress tests, network analysis of the interbank market and models of interbank contagion and fire sales, aiming to capture the dynamics similar to those observed during the 2008 financial crisis. We will discuss the key role of banks in the money creation process, how this relates to monetary aggregates and what the introduction of central bank digital currencies and their different implementation options may mean in this context.

Bio: Christoph Siebenbrunner is currently affiliated with the research institute for cryptoeconomics at WU Vienna and the strategy and stress testing unit of the banking supervision department at the Austrian National Bank. All views presented are his own. Christoph has previously worked as a post-doctoral research fellow in Milind Tambe's group in the Computer Science department at Harvard SEAS, focussing on restless mulit-armed bandit models and security games in the Artificial Intelligence for Social Good research stream. Christoph holds a PhD in Mathematics from the University of Oxford, where he has also worked as a college lecturer for Mathematics and Statistics, and a PhD in Management Science with a Finance concentration from TU Vienna.

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