8th Annual Research Workshop - The future of stress tests in the banking sector – approaches, governance and methodologies
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Paris, France, EBA premises
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Day 1 – 27 November 2019
Welcome Speech – José Manuel Campa, EBA Chairperson
Key Note Speech – Andrea Enria (Chair of the ECB Supervisory Board)
”The future of stress testing”
Session 1: Methodologies and approaches
Chair: Lisa Ryu (Federal Reserve Board)
“System-wide stress simulation”, David Aikman, Pavel Chichkanov, Graeme Douglas, Yordan Georgiev, James Howat, Benjamin King (Bank of England)
Discussant: Jose M. Berrospide (Federal Reserve Board)
“Deep-Stress: A deep learning approach for dynamic balance sheet stress testing”, Anastasios Petropoulos, Vasilis Siakoulis, Nikolaos Vlachogiannakis, Evaggelos Stavroulakis (Bank of Greece)
Discussant: Kim Abildgren (Danish Central Bank)
“Applying the pre-commitment approach to bottom up stress tests”, Simone Casellina (EBA), Giuseppe Pandolfo (IVASS), Mario Quagliariello (EBA)
Discussant: Peter Raupach (Deutsche Bundesbank)
Session 2: Scenario design and calibration
Chair: Emilios Avgouleas (University of Edinburgh)
“How severe are the EBA macroeconomic scenarios for the Italian Economy? A joint probability approach”, Manuel Bonucchi, Michele Catalano (Prometeia Associazione)
Discussant: Loftur Hreinsson (Financial Supervisory Authority of Iceland)
“Systematic Systemic Stress Tests”, Thomas Breuer (University of Applied Sciences, Vorarlberg), Martin Summer (Oesterreichische Nationalbank)
Discussant: José Fique (European Systemic Risk Board)
“Model-based approach for scenario design: stress test severity and banks’ resiliency”, Paolo Nicola Barbieri (University of Gothenburg and Prometiea SpA), Giuseppe Lusignani (University of Bologna and Prometeia SpA), Lorenzo Prosperi (Toulouse School of Economics and Prometeia SpA), Lea Zicchino (Prometeia SpA)
Discussant: Inês Drumond (Banco de Portugal)
Session 3: Liquidity stress tests
Chair: : Lars Overby (EBA)
“Simulating liquidity stress in the derivatives market”, Marco Bardoscia, Gerardo Ferrara, Nicholas Vause, Michael Yoganayagam (Bank of England)
Discussant: José Fique (European Systemic Risk Board)
“Determinants of banks’ liquidity: a French perspective on interactions between market and regulatory requirements”, Olivier de Bandt (Banque de France), Sandrine Lecarpentier (EconomiX, CNRS, Paris-Nanterre University), Cyril Pouvelle (French Prudential Supervision and Resolution Authority, Banque de France)
Discussant: Carmelo Salleo (Banca d’Italia)
“Taking regulation seriously: fire sales under solvency and liquidity constraints”, Jamie Coen (Bank of England), Caterina Lepore (Bank of England), Eric Schaanning (ESRB)
Discussant: Jérôme Henry (European Central Bank)
Day 2 – 28 November 2018
Session 4: Concepts and frameworks
Chair: Samuel Da Rocha Lopes (EBA)
“Modelling loan loss provisions under IFRS 9 in the top-down solvency stress test of the Central Bank of Hungary”, Péter Lang, Martin Stancsics (Magyar Nemzeti Bank)
Discussant: Monika Marcinkowska (University of Lodz)
“Reverse stress testing”, Michael Baes (ETH Zurich, RiskLab), Eric Schaanning (ESRB)
Discussant: Klaus Düllmann (European Central Bank)
“Stochastic Optimization System for Bank Reverse Stress Testing”, Giuseppe Montesi, Giovanni Papiro (University of Siena), Massimiliano Fazzini, Alessandro Ronga (Valuecube) Discussant: Edgar Löw (Frankfurt School of Finance and Management)
Key Note Speech – Jean Dermine (Professor of Banking and Finance, INSEAD, France) “EU Banking Stability, One Size Does not Fit All”
Session 5: Banks behaviour
Chair: Mario Quagliariello (EBA)
“Stressed but Not Helpless: Strategic Behaviour of Banks under Adverse Market Conditions”, Grzegorz Halaj, Sofia Priazhkina (Bank of Canada)
Discussant: Laura Valderrama (International Monetary Fund)
“The Disciplining Effect of Supervisory Scrutiny in the EU-wide Stress Test“, Christoffer Kok (ECB), Carola Müller (IWH), Cosimo Pancaro (ECB)
Discussant: Rym Ayadi (CASS Business School)
“The Effects of Bank Capital Buffers on Bank Lending and Firm Activity: What Can We Learn from Five Years of Stress-Test Results?”, Jose M. Berrospide, Rochelle M. Edge (Federal Reserve Board)
Discussant: Mitsuru Katagiri (Bank of Japan)
Session 6: Climate risk
Chair: Olli Castrén (EBA)
“Factoring transition risks into regulatory stress-tests: The case for a standardized framework for climate stress testing and measuring impact tolerance to abrupt late & sudden economic decarbonization”, Michael Hayne, Soline Ralite, Jakob Tromä, Daan Koopman (2°Investing Initiative)
Discussant: Martin Summer (National Bank of Austria)
“The Greenium matters: evidence on the pricing of climate risk”, Lucia Alessi, Elisa Ossola, Roberto Panzica (European Commission)
Discussant: Edo Schets (De Nederlandsche Bank)