Opzioni di ricerca
Home Media Facciamo chiarezza Studi e pubblicazioni Statistiche Politica monetaria L’euro Pagamenti e mercati Lavorare in BCE
Suggerimenti
Ordina per
Non disponibile in italiano
  • 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

Wednesday, 5 February 2020
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:

18:20
Close of first day
19:30

Dinner

Thursday, 6 February 2020
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

Conference venue

European Central Bank
Main building
Press room
Sonnemannstrasse 20
60314 Frankfurt am Main

+49 69 1344 0
Fax: +49 69 1344 6000
info@ecb.europa.eu

Conference language

English

Transfers

Unless stated otherwise, participants are asked to arrange their own transfer.

Organisers
  • Hans Dewachter, National Bank of Belgium
  • Steven Ongena, University of Zurich
  • Cosimo Pancaro, ECB
  • Carmelo Salleo, ECB
Contacts