2022 Research Workshop
Working Group on Stress Testing
Thursday, 29 September 2022, Frankfurt am Main - by invitation only
The Working Group on Stress Testing (WGST) was established in 2018 under the aegis of the Financial Stability Committee (FSC) and focuses on the development of stress test methodologies along three avenues: (i) top-down models and benchmarks, (ii) macroprudential stress testing, (iii) system-wide stress testing. The aim of this first research workshop is to promote stress testing as a policy tool for financial stability purposes, therein supporting macro-financial policy setting and assessment.
Programme
*indicates the presenter
- 9:30
-
Introduction to the FSC Working Group on Stress Testing
Katarzyna Budnik, Chair of the WGST, European Central Bank
-
Session 1: On the communication and interpretation of stress test results
Chair: Jacob Gyntelberg, Director of Economic and Risk Analysis, European Banking Authority
- 10:00
-
Time inconsistency in stress test design
Markus Parlasca*, Vienna University of Economics and Business
Discussant: Julien Idier, Banque de France
- 10:30
-
Stress tests and capital requirement disclosures: do they impact banks’ lending and risk-taking decisions?
- Paul Konietschke*, European Central Bank
- Steven Ongena, University of Zurich and Swiss Finance Institute
- Aurea Ponte Marques, European Central Bank
Discussant: AndreaTiseno, Banca d’Italia - 11:00
-
Risk-to-buffer: setting cyclical and structural capital buffers through banks stress tests
Cyril Couaillier and Valerio Scalone*, European Central Bank
Discussant: Nektarios Michail, Central Bank of Cyprus
- 11:30
-
Welcome remarks
Luis de Guindos, Vice-President, European Central Bank
- 12:00
-
Keynote speech: Credit, capital and crises: a GDP-at-Risk approach
David Aikman, King’s Business School
- 12:45
-
Lunch
-
Session 2: Stress testing meets monetary policy
Chair: Steven Ongena, University of Zurich and Swiss Finance Institute
- 13:45
-
Stress testing with multi-faceted liquidity: the central bank collateral framework as a financial stability tool
- Angelo Cuzzola*, Scuola Superiore Sant'Anna
- Claudio Barbieri, European Central Bank
- Ulrich Bindseil, European Central Bank
Discussant: Frances Shaw, Central Bank of Ireland
- 14:15
-
Contagion from market price impact: a price-at-risk perspective
- Gábor Fukker, Magyar Nemzeti Bank
- Michiel Kaijser, De Nederlandsche Bank
- Luca Mingarelli, European Central Bank
- Matthias Sydow*, European Central Bank
Discussant: Giovanni Covi, Bank of England
- 14:45
-
Banks' net interest margin and changes in the term structure
Christoph Memmel and Lotta Heckmann-Draisbach*, Deutsche Bundesbank
Discussant: Saifeddine Ben Hadj, National Bank of Belgium
- 15:15
-
Coffee break
- 15:30
-
Policy Panel
How can stress testing support policy making in unprecedented times? Stress testing as a policy tool during pandemics, wars and climate crisisChair: Cornelia Holthausen, Director General, European Central Bank
- Hans Dewachter, Chief Economist, KBC Group NV
Valerie Herzberg, Deputy Director General, Deutsche Bundesbank
- Mario Quagliariello, Director, European Central Bank - Banking supervision
- Javier Suarez, Center for Monetary and Financial Studies
- 16:30
-
Closing remarks
Jérôme Henry, Principal Adviser, European Central Bank
This programme may be subject to change without notice.
General information
Venue
European Central Bank, Eurotower, Room C2.01, Frankfurt am Main
Conference language
English
Organising committee
- Emmanuelle Assouan, Banque de France
- Katarzyna Budnik, European Central Bank
- Steven Ongena, University of Zurich and Swiss Finance Institute
- Aurea Ponte Marques, European Central Bank
- Zoe Trachana, European Central Bank
- Benjamin Weigert, Deutsche Bundesbank