Halaj Grzegorz

Principal Researcher

Grzegorz Halaj is a Principal Researcher in 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.

Contact

Principal Researcher
Financial Stability
Model Development and Research

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Other

Working papers

Refereed journals

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.
  • "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.

Education

  • PhD in mathematical finance (Warsaw School of Economics)

Research Interests

  • Modelling of the optimal behavior of financial institutions, as well as agent-based and financial system contagion modelling, macroprudential stress testing

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