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Simulating Financial Instability
Conference on stress-testing and financial crisis simulation exercises
Frankfurt am Main, 12-13 July 2007
Introduction :
The objective of the conference was to bring together officials from central banks, supervisory institutions and international organisations to discuss recent experiences and methodological and operational issues, as well as policy challenges related to macro level stress-testing and financial crisis simulation exercises.
On the stress-testing side, the focus was to review current practices both at country and cross-border levels, on recent methodological advances as well as potential lessons for designing crisis simulation exercises. On the crisis simulation side, the conference addressed recent initiatives for enhancing the EU’s financial stability arrangements through the organisation of simulation exercises at the domestic, regional and EU levels.
Programme:
Thursday, 12 July 2007
| 09:15 | Welcoming remarks Jean-Claude Trichet (European Central Bank) |
| 09:30 | Session I: Macro-stress testing – most recent experiences Moderator: Jan W. Brockmeijer (De Nederlandsche Bank NV) Speakers: Mark Swinburne (International Monetary Fund): The IMF’s Experience with Macro Stress-Testing, pdf 0 B, en Nigel Jenkinson (Bank of England): The Bank of England’s Approach to Top Down Systemic Stress Testing, pdf 0 B, en Jesús Saurina (Banco de España): Stress Testing. The Spanish Experience, pdf 0 B, en Discussants: Gerhard Hofmann, Deutsche Bundesbank |
| 11:30 | Session II: Macro-stress testing – methodological challenges Moderator: Pedro Duarte Neves (Banco de Portugal) Speakers: Kostas Tsatsaronis (Bank for International Settlements): Accounting for Risk Transfer in Macro-Stress Testing exercises: challenges and some thoughts, pdf 0 B, en Charles Goodhart (London School of Economics): A Traverse from the Micro to the Macro, pdf 0 B, en Martin Summer (Oesterreichische Nationalbank): Modelling Instability of Banking Systems and the Problem of Macro Stress Testing, pdf 0 B, en Discussant: Sylvie Mathérat (Banque de France): Macro Stress Testing: Methodological Challenges, pdf 0 B, en Discussion |
| 13:00 | Luncheon and Keynote Address Jaime Caruana (International Monetary Fund) pdf 0 B, en |
| 15:00 | Session III: Testing financial stability arrangements – recent experiences in the conduct of domestic crisis simulation exercises Moderator: Lars Nyberg (Sveriges Riksbank) Speakers: Michael Krimminger (Federal Deposit Insurance Corporation in the US): Contingency Planning & Simulation Exercises: Practical Applications, pdf 0 B, en Paul Wright (Financial Services Authority - UK): Domestic Crisis Simulation Exercises: the UK, pdf 0 B, en Tamás Kálmán (Magyar Nemzeti Bank): Hungarian financial crisis simulation exercises - central banking perspective, pdf 0 B, en Discussant: Mauro Grande (European Central Bank): Domestic simulation exercises pdf 0 B, en Discussion |
| 17:00 | Session IV: Cross-border financial crisis simulation exercises Moderator: Andreas Ittner (Oesterreichische Nationalbank) Speakers: Thorvald Grung Moe (Norges Bank): Testing the interaction between authorities of countries with significant banking interlinkages, pdf 0 B, en Chris Ryan (Reserve Bank of Australia): Interaction between the Australian and New Zealand Authorities , pdf 0 B, en Göran Lind (Sveriges Riksbank): Challenges in Conducting EU-Wide Crisis Simulation Exercises, pdf 0 B, en Discussant: Svein Andresen (Financial Stability Forum): Cross-border financial simulation exercises pdf 0 B, en Discussion |
| 19:30 | Dinner and Keynote Address Lucas Papademos (European Central Bank), en |
Friday, 13 July 2007
| 09:00 | Session V: Specific challenges for the EU and the euro area Moderator: Giovanni Carosio (Banca d’Italia) Speakers: John Fell (European Central Bank): Challenges for EU-wide macro stress-testing, pdf 0 B, en Peter Nyberg (Finnish Ministry of Finance): Getting end-game expectations right – view from a MoF Panagiotis Strouzas (European Central Bank): Eurosystem’s financial crisis simulation exercises, pdf 0 B, en Discussant: John Berrigan (European Commission): Specific challenges for the EU and the euro area pdf 0 B, en Discussion |
| 11:00 | Session VI: Policy panel on international experiences Chair: Jean-Claude Trichet (European Central Bank) Panel: Malcolm Knight, Bank for International Settlements Donald L. Kohn, Federal Reserve Board Lars Nyberg, Sveriges Riksbank Peter Praet, Banque Nationale de Belgique Kenzo Yamamoto, Bank of Japan |
| 13:00 | Conclusion of the conference and lunch |
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