Research

Published papers

• Peer reviewed

1. M. Baes, E. Schaanning, Reverse Stress Testing: Scenario Design for Macroprudential Stress Tests, (2020), Mathematical Finance, 2023 (open access). 

2. R. Cont, E.Schaanning, Monitoring Indirect Contagion, (2019), Journal of Banking and Finance, Vol. 104, Pages 85-102 . 

3. Z. Feinstein, W. Pang, B. Rudloff, E. Schaanning, S. Sturm, M. Wildman, Sensitivity of the Eisenberg & Noe clearing vector to individual interbank liabilities, (2019), SIAM Journal on Financial Mathematics, Vol. 9, Issue 4, Pages 1286–1325. 

4. G. Mainik, E. Schaanning, On dependence consistency of CoVaR and some other systemic risk measures, (2014), Statistics and Risk Modeling, Volume 31, Issue 1, Pages 49–77. 

• Policy work

1.  Monitoring systemic risks in the EU securitisation market, European Systemic Risk Board, 2022.

2.  A system-wide  scenario analysis of large-scale corporate bond downgrades, European Systemic Risk Board, 2022. 

   1. VoxEU article: Fallen angels and indirect contagion, VoxEU, 2020. 

3.  Systemic Cyber Risk, European Systemic Risk Board, 2020. 

4.  Mitigating the procyclicality of margins and haircuts in derivatives and securities financing transactions, European Systemic Risk Board, 2020. 

• Other

1. G. Insalaco, E. Schaanning, European Corona Solidarity Bonds, (2020), Policy Note. 

2. K. Gerdrup, A.B. Kvinlog, E. Schaanning, Key indicators for a countercyclical capital buffer – Trends and uncertainty, Norges Bank Staff Memo 13/2013.  

3. E. Schaanning, Fire Sales and Systemic Risk in Financial Networks, PhD Thesis, Imperial College London 2017. 

Current projects

Working papers

1. E. Schaanning, C. Hardy,  F. Nunez, S. Stepanyan, Finding the Blind Spots Before It's Too Late: A (Reverse) Stress Test Approach for Asset Liability Management, Working Paper 2023.  

2.  A. Bouveret, M. Baes, E. Schaanning, Regulatory constraints for money market funds: The impossible trinity?,  Working Paper, 2021. 

3. C. Lepore, J. Coen, E. Schaanning, Taking regulation seriously: Fire sales under solvency and liquidity constraints, (2019), Bank of England Staff Working Paper 793. 

4. R. Cont, E. Schaanning, Fire sales, indirect contagion and systemic stress testing, (2016), Norges Bank Working Paper. 

Selected talks and conferences

• A (Reverse) Stress Testing Approach for Asset Liability Management, European Systemic Risk Board, April 2024.. 

• A (Reverse) Stress Testing Approach for Asset Liability Management, Bank of England, London, April 2024. 

• A (Reverse) Stress Testing Approach for Asset Liability Management, International Monetary Fund (IMF), Washington, April 2024. 

• Reverse Stress Testing of Asset Liability Management and IRRBB, Bank for International Settlements, Basel, April 2024. 

• Asset Liability Management and IRRBB Management, University of Zurich Executive Education, March 2024. 

• A (Reverse) Stress Testing Approach for Asset Liability Management, QuantMinds, London, November 2023. 

• A (Reverse) Stress Testing Approach for Asset Liability Management, Columbia University, New York, October 2023. 

• Reverse Stress Testing: Scenario Design for Macroprudential Stress Tests, University of Chicago, April 2022. 

• Reverse Stress Testing: Scenario Design for Macroprudential Stress Tests, Online, RiskMinds International, December 2020. 

• Reverse Stress Testing: Scenario Design for Macroprudential Stress Tests, Online, Swiss Risk Association, January 2021. 

• Reverse Stress Testing, ECB Macroprudential stress testing conference, Frankfurt, February 2020.

• Reverse Stress Testing, ESRB/BoF/RiskLab(FI) conference on Systemic Risk Analytics, Helsinki, 23-24 May 2019.

• The Future of Stress Testing, Swiss Risk Association, Zurich, 8 May 2019.

• Monitoring Indirect Contagion, ESRB AWG meeting, Banco de Portugal, July 2018. 

• Bachelier Financial Society World Congress, Dublin, July 2018.

• Monitoring Indirect Contagion, BIS - Banca d'Italia workshop, Rome, July 2018.*

• Monitoring Indirect Contagion, Columbia University, New York, June 2018.

• Monitoring Indirect Contagion, ESRB - BoF - Risklab Systemic Risk Analytics conference, Helsinki, May 2018. 

• Monitoring Indirect Contagion, Zurich - Hannover Workshop, Zurich, May 2018. 

• Monitoring Indirect Contagion, ETH Imperial Workshop, Zurich, April 2018. 

• Fire sales, indirect contagion and systemic stress testing, ECBN workshop, National Bank of Belgium, March 2018.

• Measuring systemic risk: the Indirect Contagion Index, Vienna University of Economics and Business, January 2018.

• Measuring systemic risk: the Indirect Contagion Index, Imperial College London, December 2017.

• ESRB-ATC task force workshop on stress testing: Second round effects in stress tests, Dublin, Dublin December 2017. 

• ESRB Joint Expert Group on Interconnectedness, November 2017. 

• ETH Zürich Risk Day 2017,  ETH Zürich, September 15th.

• Measurement and control of systemic risk, Centre de recherches mathématiques, Montréal, September 25 - 28. 

• 6th Lindau Nobel Laureate Meetings on Economic Sciences, Lindau, August 22 -  26. 

• Fire sales, indirect contagion and systemic stress testing, Deutsche Bundesbank, Frankfurt, July 2017.

• Fire sales, indirect contagion and systemic stress testing, NYU Stern School of Business, 10th conference of the Society for Financial Econometrics, New York, June 2017. 

• Beyond passive stress-testing: portfolio constraints, market impact and systemic risk, Österreichische National Bank (OeNB), June 2017. 

• Fire sales, price-mediated contagion and systemic stress testing, Call for paper winner, RISK Quant Summit Europe 2017, London, March 2017. 

• Systemic stress testing, European Systemic Risk Board, ECB, January 2017. 

• Fire sales, indirect contagion and systemic stress testing, Bank of England & London School of Economics workshop on risk amplification mechanisms, London 8th December 2016.

• Systemic stress testing, European Systemic Risk Board, Bank of Finland & Risklab conference on Systemic Risk Analytics, Helsinki, October 2016.

• Systemic stress testing,  Annual conference on Financial Risk and Network Theory, University of Cambridge, September 2016. 

• Fire sales, price-mediated contagion and systemic risk, ETH Zürich, September 2016.

• Fire sales, price-mediated contagion and systemic risk, Bi-annual World Congress of the Bachelier Financial Society, New York, July 2016.

• Fire sales, price-mediated contagion and systemic risk, Federal Reserve Bank of New York, New York, July 2016.

• Model risk in systemic risk models, Chinese University of Hong Kong & Imperial College conference, London, June 2016.

• Fire sales and systemic risk: Monitoring and macroprudential policies, Swiss National Bank, March 2016.

• Fire sales and systemic risk: Monitoring and macroprudential policies, Bank of England, January 2016.

• Fire sales and systemic risk: Monitoring and macroprudential policies, Banque Centrale du Luxembourg, December 2015.

• Price-mediated contagion & systemic risk: indirect exposures & prudential policy, EPFL, September 2015.

• Price-mediated contagion & systemic risk: indirect exposures & prudential policy, UCLA, May 2015.

• Fire Sales and price-mediated contagion: modeling, monitoring and macro prudential tools, Newton Institute, University of Cambridge, December 2014.

• CoVaR & Systemic Risk, 3rd International Conference on Financial Regulation & Systemic Risk, FEBS/Labex-Réfi, Paris, 2013.

• CoVaR & Systemic Risk, Imperial College – ETH Zurich Workshop, London, 2013.

• CoVaR & Systemic Risk, London Graduate School of Mathematical Finance – PhD Day, 2013.

• Assessing Early Warning Indicators for Norway, Norges Bank, Oslo, 2012.

• Measures of Systemic Risk, University of Oslo – Economics PhD Lunch, Oslo, 2012.

* Indicates a presentation by a co-author. 

Refereeing Activity

Management Science, Operations Research, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Financial Stability, ASTIN Bulletin, Dependence Modelling, Statistics & Probability Letters. 

Press

• Stress testing with fire sales, CentralBanking.com 

Grants and prizes

• Fonds National de la Recherche Luxembourg, Outstanding PhD Thesis Award 2018

• AFR PhD Grant – Fonds National de la Recherche Luxembourg, 2013 – 2016

• Best Poster in Mathematical Finance – Imperial College Poster Competition 2013, 2016