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Programme: Central bankers go data driven: applications of AI and ML for policy and prudential supervision

Central bankers go data driven: applications of AI and ML for policy and prudential supervision

Amsterdam, 12-13 May 2022

Double Tree Hilton Hotel
Oosterdoksstraat 4, Amsterdam

11 May 2022

19.00 – 21.00: Welcome reception at the Sky Lounge, situated in the Double Tree Hilton Hotel (11th floor), Oosterdoksstraat 4, Amsterdam

Day 1 - 12 May 2022 (London room, 1st floor)

08.30 – 09.00: Registration and reception with coffee/tea

09.00 – 09.15: The journey towards a data-driven organisation

Opening remarks by Nicole Stolk (De Nederlandsche Bank)

09.15 – 10.00: Central bankers go data driven: applications of AI and ML for policy and prudential supervision.

Key note speech Lukasz Kubicki (European Central Bank, SSM)

Theme 1 Financial Market Infrastructures
Chair: Anneke Kosse (Bank for International Settlements)10.00 – 10.45:

10.00 - 10.45: Pattern recognition and anomaly detection in high-frequency payments data
Ajit Desai (Bank of Canada), Anneke Kosse (Bank for International Settlements)
Discussant: Ellen van der Woerd (De Nederlandsche Bank)

10.45 – 11.15: Break

11.15 – 12.00: Payment data-driven bank stress nearcasting
Ermin Zvizdić,  Christoph Meyer, Jacopo di Simone, Thomas Nellen (all Swiss National Bank)
Discussant: Pablo Rovira Kaltwasser (National Bank of Belgium)

12.00 – 12.45: Are crypto currencies cryptic or a source for arbitrage: A genetic algorithm approach
Segun Bewaji (Payments Canada), Sania Hamid (Payments Canada), Timothy Aerts (De Nederlandsche bank) Shaun Byck (Payments Canada), Ronald Heijmans (De Nederlandsche bank) and Ellen van der Woerd (De Nederlandsche bank)
Discussant: Martin Diehl (Deutsche Bundesbank)

12.45 – 13.45: Lunch

13.45 – 14.45: Panel discussion: What is the role of data science teams within financial authorities and institutions? 
Chair: Jorien Freriks (De Nederlandsche Bank)

Lukasz Kubicki (European Central Bank, SSM), Kerem Tomak (ING Bank), Iman van Lelyveld (De Nederlandsche Bank)

14.45 – 15.15: Break

Theme 2  Crime
Chair: Sari Butink (De Nederlandsche Bank)

15.15 – 16.00: Data-driven effort strengthens the fight  against money laundering
Thais Lærkholm Jensen, Bjarke Mørch Mønsted and Alessandro Tang-Andersen Martinello (all Danmarks Nationalbanken)
Discussant: Justus Inhoffen (Tinbergen Institute, De Nederlandsche Bank)

16.00 – 16.45: A machine learning approach for the detection of firms infiltrated by organised crime in Italy
Pasquale Cariello, Marco De Simoni and  Stefano Iezzi (all (Unità di Informazione Finanziaria)
Discussant: Natalie Kessler (De Nederlandsche Bank)


16.45 – 17.00: 42 seconds rally

17.00 – 18.30: Market

19.30 – 22.00: Dinner (Leeds Room)

Day 2 - 13 May 2022 (London room, 1st floor)

08.30 – 09.00: Reception with coffee/tea

Theme 3  Central Banking

Chair: Patty Duijm (De Nederlandsche bank)

09.00 – 09.45: Deep reinforcement learning in a monetary model
Mingli Chen (University of Warwick), Andreas Joseph (Bank of England), Michael Kumhof (Bank of England), Xinlei Pan (University of Berkeley), Rui Shi (University of Warwick), Xuan Zhou (Deakin University)
Discussant: Michiel Nijhuis (De Nederlandsche Bank)

09.45 – 10.30: Can satellite data on air pollution predict industrial production?Jean-Charles Bricongne (AMSE and Banque de France), Baptiste Meunier (AMSE, Banque de France and European Central Bank), Thomas Pical (AMSE and Equancy)
Discussant: Ricardo Correa (Federal Reserve Board)

10.30 – 11.00: Break

11.00 – 11.45: Whatever it takes to understand a central banker – Embedding their words using neural networks
Martin Baumgärtner (THM Business School) and Johannes Zahner (Philipps-Universität Marburg)
Discussant: Annick van Ool (De Nederlandsche Bank)

11.45  – 12.30: Speeddate

12.30 – 13.30: Lunch

13.30 – 14.00: Data Science for Supervision – what’s in it for us?

Key note speech by Steven Maijoor (De Nederlandsche Bank)

Theme 4  Supervision

Chair: Véronique Hijl (De Nederlandsche Bank)

14.00 – 14.45: Explainable artificial intelligence: Interpreting default forecasting models based on machine learning
Giuseppe Cascarino, Mirko Moscatelli, Fabio Parlapiano (all Banca d’Italia)
Discussant: Edwige Burdeau (Banque de France)

14.45 – 15.15 : Break

15.15 – 16.00: News-implied sovereign default risk
Chukwuma Dim (Frankfurt School of Finance and Management), Kevin Koerner, Marcin Wolski and Sanne Zwart (all three European Investment Bank)
Discussant: Flavia Barsotti (ING Bank)

16.00 – 16.45: Discovering and ranking validation rules in supervisory data
Willem Jan Willemse, Annick van Ool (both De Nederlandsche Bank)
Discussant: Luca Mossink (European Central bank)

16.45 – 17.00: Closing remarks