At the Secretariat of the European Systemic Risk Board, which is staffed and supported by the ECB, I worked on cross-cutting systemic-risk analysis of the European financial system. One major responsibility was the Systemic Risk Survey: collecting assessments from participating authorities, consolidating and visualising the results and helping automate a process that had previously relied heavily on manual Excel work. I also analysed risks in bank portfolios, real estate, insurers and pension funds and prepared material for the ESRB General Board. The work also included econometric analysis of non-performing-loan drivers and larger VAR models in MATLAB. The later paper “EU banks after the crisis” explicitly thanks Magdalena Grothe and Nikolas Mayer for discussions and preliminary work. During the ESRB assignment I also provided economic commentary to Hospodářské noviny on the Czech economy.
Systemic Risk Survey
I worked on collecting systemic-risk assessments from participating authorities, consolidating and visualising the results and improving the technical workflow. A key objective was to replace part of a manual Excel-based process with a more reproducible analytical infrastructure.
Systemic-risk analysis
The analytical work covered the banking sector, real estate, insurers and pension funds. Outputs supported internal analysis and material prepared for the ESRB General Board.
NPLs and econometrics
I also worked on econometric analysis of non-performing-loan drivers and larger VAR models in MATLAB. This project is best distinguished from the later public paper on bank equity prices, which used a different dependent variable.
Public outputs
A later paper by Antonio Sánchez Serrano explicitly thanks Magdalena Grothe and Nikolas Mayer for discussions and preliminary work. During the ESRB assignment I also provided economic commentary to Hospodářské noviny on the drivers and sustainability of Czech economic growth.