Grzegorz Halaj
Policy Advisor
- PhD in mathematical finance (Warsaw School of Economics)
Bio
Grzegorz Halaj is a Policy Advisor in the Financial Stability Department and was previously a Director in Financial Institutions Division and a Principal Researcher in Model Development and Research Division of the Financial Stability Department. Prior to joining the Bank of Canada, he was an Economist in the Financial Stability and Macroprudential Policy Directorate of the ECB and before that he worked as an expert in asset/ liability management in a large banking group in Europe and as an expert in Financial stability of the National Bank of Poland.
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Staff discussion papers
Staff working papers
Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions
Our stress-testing tool considers banks under stress that can strategically manage their balance sheets. Using confidential Canadian supervisory data, we assess whether bank behaviour to maximize shareholder value can amplify a hypothetical stress scenario.Interbank Asset-Liability Networks with Fire Sale Management
Raising liquidity when funding is stressed creates pressure on the financial market. Liquidating large quantities of assets depresses their prices and may amplify funding shocks. How do banks weathering a funding crisis contribute to contagion risk?Interconnected Banks and Systemically Important Exposures
How do banks' interconnections in the euro area contribute to the vulnerability of the banking system? We study both the direct interconnections (banks lend to each other) and the indirect interconnections (banks are exposed to similar sectors of the economy). These complex linkages make the banking system more vulnerable to contagion risks.Journal publications
Refereed journals
- "Interconnected banks and systemically important exposures"
Journal of Economic Dynamics and Control, Volume 133, December 2021, 104266 - "Resilience of Canadian banks to funding liquidity shocks"
Latin American Journal of Central Banking, Volume 1, Issues 1–4, 2020. - "Simulating fire sales in a system of banks and asset managers"
Journal of Banking & Finance, 2019. - "System-wide implications of funding risk"
2018, Volume 503, pp 1151-1181. - "Emergence of the EU corporate lending network"
(with Kochanska U. and Kok C.), Journal of Network Theory in Finance, 1(1), pp 33. - "Assessing interbank contagion using simulated networks"
(with Kok C.), Computational Management Science, 2013, 10(2), pp 157-186. - "Modelling the emergence of the interbank networks"
(with Kok C.), Quantitative Finance, 2015, 15, pp 653-671. - "Dynamic balance sheet model with liquidity risk"
International Journal of Theoretical and Applied Finance, 2016, 19(7), 1-37. - "A global study on uncovering financial network structures from partial data"
(with Anand A., van Lelyveld I., Banai A., Friedrich S., Garratt R., Fique J., Hansen I., Martínez Jaramillo S., Lee H., Molina-Borboa J.L., Nobili S., Rajan S., Salakhova D., Silva T., Silvestri L. and Stancato de Souza S.R.), Journal of Financial Stability 2018, Volume 35, April 2018, pp 107-119. - "The systemic implications of bail-in: A multi-layered network approach"
(with Huser A.-C., Kok C., Perales C. and van der Kraaij A.), Journal of Financial Stability 2018 Volume 38, October 2018, pp 81-97. - "How did the Greek credit event impact the credit default swap market?"
(with Peltonen T. and Scheicher M.), Journal of Financial Stability 2018, Volume 35, April 2018, pp 136-158 - "Sketching a roadmap for systemic liquidity stress tests"
(with Henry J.), Journal of Risk Management in Financial Institutions, 2017, 10(4), pp 319-340.
Other
Policy papers
- "STAMP€: Stress-Test Analytics for Macroprudential Purposes in the euro area",
ed. Dees S., Henry J., Martin R., (contribution to Chapters 12 and 14), 2017. - "Analysis of Central Clearing Interdependencies,
(contributor), Report to G20, FSB-CPMI-IOSCO Study Group, 2017. - "Contagion and interbank networks",
(with Kok C.), chapter in Computational Network Theory: Theoretical Foundations and Applications (Wiley-Blackwell), ed. Dehmer M., Emmert-Streib F., Pickl S., pp. 97-136, 2015. - "Making supervisory stress tests more macroprudential: Considering liquidity and solvency interactions and systemic risk",
(contributor), Basel Committee on Banking Supervision, Working Paper 29, November 2015. - "Systemic Valuation of Banks: Interbank Equilibrium and Contagion",
(chapter) Advances in Network Analysis and its Applications (Springer), ed. Kranakis E., pp 57-83, September 2012. - "EU Banks' Liquidity Stress Testing and contingency funding plans",
(contributor), European Central Bank, November 2008.
Working papers
- "A macro stress testing framework for assessing systemic risks in the banking sector"
(with Henry J., Zimmermann M., Leber M., Kolb M., Grodzicki M., Amzallag A., Vouldis A., Pancaro C., Gross M., Baudino P., Sydow M., Kok C., Cabral I. and Żochowski D.), ECB Occasional Paper, no 152, 2013. - "Optimal asset structure of a bank – bank reactions to stressful market conditions"
ECB Working Papers Series, 2013, no 1533. - "Bank capital structure and the credit channel of central bank asset purchases"
(with Darracq Paries M. and Kok C.), ECB Working Papers Series, 2016, no 1916. - "Simulating fire-sales in a banking and shadow banking system"
(with Calimani S. and Zochowski D.), ESRB Working Paper Series, 2017, no 46. - "Agent-based model of system-wide implications of funding risk"
ECB Working Papers Series, 2018, no 2121.