- European Central Bank Conference
Macroprudential stress-testing
Wednesday, 5 and Thursday, 6 February 2020
Press room, Main Building, European Central Bank, Frankfurt am Main
The ECB Macroprudential Stress Testing Conference supports research on macroprudential stress testing and provides an opportunity for researchers and policymakers to present and consider the latest thinking in the field. The Conference will focus on the implications of stress testing on banks’ behaviour, macroprudential stress testing as a policy tool, systemic stress tests and stress testing non-bank financial institutions.
Programme
* indicates the presenter
- 9:00
- Registration and coffee
- 9:10
-
Opening remarks
L. de Guindos, European Central Bank
- 9:40
-
Session 1: Implications of stress-testing on banks’ behaviour
Chair: L. Pelizzon, SAFE-LIF and Goethe University Frankfurt
-
Stress Testing and Bank Lending
- J. Shapiro
- J. Zeng*, University of Vienna and Frankfurt School of Finance and Management
Discussant: A. Leonello, ECB
-
The Effects of Bank Capital Buffers on Bank Lending and Firm Activity: What Can We Learn from Five Years of Stress-Test Results?
- J. M. Berrospide
- R. M. Edge*, Federal Reserve Board
Discussant: S. Ongena, University of Zurich
- 11:10
- Coffee break
- 11:30
-
The Disciplining Effect of Supervisory Scrutiny in the EU-wide Stress Test
- C. Kok
- C. Müller*, Norges Bank
- C. Pancaro
Discussant: D. Pierret, University of Luxembourg
-
Stress Testing Effects on Portfolio Similarities Among Large US Banks
- F. Bräuning
- J. L. Fillat*, Federal Reserve Bank of Boston
Discussant: Y. Altunbas, University of Bangor
- 13:00
- Lunch
- 14:00
-
Keynote Speech
D. Kohn, Bank of England and Brookings Institution
- 14:45
-
Session 2: Macroprudential stress testing
Chair: J. Fell, ECB
-
Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-based Stress Tests
M.R.C. van Oordt*, Bank of Canada
Discussant: K. Budnik, ECB
-
Stress Testing and Calibration of Macroprudential Policy Tools
- L. Górnicka
- L. Valderrama*, IMF
Discussant: H. Dewachter, National Bank of Belgium
- 16:15
- Coffee break
- 16:35
-
Reverse Stress Testing
- M. Baes
- E. Schaanning*, ESRB
Discussant: E. Rancoita, ECB
- 17:20
-
Panel session: Macroprudential stress testing as a policy tool
Panellists:
- B. Hirtle, NY FED
- M. Cihak, IMF
- C. Salleo, ECB
- J. Saurina, Banco de España
- D. Pierret, University of Luxembourg
- 18:20
- Close of first day
- 19:30
-
Dinner
- 9:00
-
Session 3: Systemic stress tests and stress testing non-bank financial institutions
Chair: S. Manganelli, ECB
-
Disastrous Defaults
- C. Gouriéroux
- A. Monfort
- S. Mouabbi*, Banque de France
- J-P. Renne
Discussant: P. Collin-Dufresne, EPFL
-
Fire sales, indirect contagion and systemic stress testing
- R. Cont*, University of Oxford
- E. Schaanning
Discussant: C. Lepore, Bank of England
-
On the Origins of Systemic Risk
- M. Montagna
- G. Torri
- G. Covi*, Bank of England
Discussant: A. C. Hüser, Bank of England
- 11:15
- Coffee break
- 11:35
-
Empirical Network Contagion for US Financial Institutions
- F. Duarte, Federal Reserve Bank of New York
- C. Jones
Discussant: I. Aldasoro, BIS
-
Central Counterparty Exposure in Stressed Markets
- W. Huang
- A. J. Menkveld
- S. Yu*, VU Amsterdam
Discussant: T. Dieler, University of Bristol
- 13:05
-
Close of conference
S. Nicoletti Altimari, ECB
This programme may be subject to change without notice.
Audiovisual notice: Please note that photography and filming activities might take place during the event.
General information
European Central Bank
Main building
Press room
Sonnemannstrasse 20
60314 Frankfurt am Main
+49 69 1344 0
Fax: +49 69 1344 6000
[email protected]
English
Unless stated otherwise, participants are asked to arrange their own transfer.
- Hans Dewachter, National Bank of Belgium
- Steven Ongena, University of Zurich
- Cosimo Pancaro, ECB
- Carmelo Salleo, ECB
Acacia Reiche
+49 69 1344 6544
[email protected]
Julia Harms
+49 69 1344 9864
[email protected]