Otsingu valikud
Avaleht Meedia Suunaviidad Uuringud & väljaanded Statistika Rahapoliitika Euro Maksed & turud Töövõimalused
Ei ole eesti keeles kättesaadav

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.


*indicates the presenter


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


Time inconsistency in stress test design

Markus Parlasca*, Vienna University of Economics and Business

Discussant: Julien Idier, Banque de France


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: Andrea Tiseno, Banca d’Italia

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


Welcome remarks

Luis de Guindos, Vice-President, European Central Bank


Keynote speech: Credit, capital and crises: a GDP-at-Risk approach

David Aikman, King’s Business School




Session 2: Stress testing meets monetary policy

Chair: Steven Ongena, University of Zurich and Swiss Finance Institute


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


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


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


Coffee break


Policy Panel
How can stress testing support policy making in unprecedented times? Stress testing as a policy tool during pandemics, wars and climate crisis

Chair: 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

Closing remarks

Jérôme Henry, Principal Adviser, European Central Bank

This programme may be subject to change without notice.

General information


European Central Bank, Eurotower, Room C2.01, Frankfurt am Main

Conference language


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