System-Wide Market Liquidity Monitoring

When:31 March 2014
, 12:00
 - 13:30
Where:Room E.21 (Paris), House of Finance

Department of Finance Seminar - joint with SAFE

Title: “System-Wide Market Liquidity Monitoring" 

Speaker: Mark D. Flood (Office of Financial Research, Washington DC)

Discussant: Carmelo Salleo (European Systemic Risk Board, Frankfurt)


Mark Flood will introduce the mission and the state of the art and the agenda of the Office for Financial Research (OFR). He will then present a Bayesian estimation of hidden Markov chain (HMC) models to measure the latent structure of liquidity in the financial system. Carmelo Salleo, will introduce the ESRB, its agenda, and point to challenging questions for researchers.


Mark D. Flood is a Financial Economist at the Office of Financial Research (OFR) in Washington DC. He did his undergraduate work at Indiana University in Bloomington, where he majored in finance (B.S., 1982), German and economics (B.A., 1983). In 1990, he earned his Ph.D. in finance from the Graduate School of Business at the University of North Carolina at Chapel Hill. He has taught finance and business at universities in the U.S. and Canada, and worked as a financial economist on issues of regulatory policy and risk management at the Federal Reserve Bank of St. Louis, the Office of Thrift Supervision, the Federal Housing Finance Board, and the Federal Housing Finance Agency.  

Carmelo Salleo is Adviser at the ESRB Secretariat, where he coordinates analytical activities to support financial stability oversight and macro-prudential policy making. Currently he is involved in the operationalization of macro-prudential instruments in the European Union, in stress testing and in insurance related financial stability topics. He holds a PhD in Economics from Harvard University.

Contact for registration: Daniela Dimitrova