6th Annual Research Workshop - The future role of quantitative models in financial regulation

Welcome Speech – Andrea Enria, EBA Chairperson

Key Note Speech – Andreas Dombret, Deutsche Bundesbank, DE, Member of the Executive Board

 “To count or not to count? The future of internal models in banking regulation”

 

Session 1: Credit risk, market risk, and interest rate risk models

Chair: Samuel Da Rocha Lopes

 

“IRB Model Regulatory Arbitrage and Profitability at European Banks“, Giovanni Ferri, Valerio Pesic (LUMSA University, Sapienza University)

Discussant: Emilios Avgouleas (University of Edinburgh)

Paper

Presentation

 

“Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives“, Viral Acharya, Yalin Gündüz, Timothy C. Johnson (Reserve Bank of India, Deutsche Bundesbank, University of Illinois)

Discussant: Walter Vecchiato (EBA)

Paper

 

“Euro area banks' interest rate risk exposure to level,slope and curvature swings in the yield curve“, Daniel Foos, Eva Lütkebohmert, Mariia Markovych, Kamil Pliszka (Deutsche Bundesbank, University of Freiburg)

Discussant: Matteo Aquilina (FCA)

Paper

Presentation

 

Session 2: Early warning systems

“A new approach to Early Warning Systems for smaller European banks“, Despo Malikkidou, Michael Bräuning, Stefano Scalone (EBA, ECB)

Discussant: Monika Marcinkowska (University of Lodz)

Paper

Presentation

 

“Does High Profitability Hamper Stability for European banks?“, Pierre Pessarossi, Jean-Luc Thevenon, Laurent Weill (BdF-ACPR and University of Strasbourg, EM Strasbourg Business School)  

Discussant: Valerio Pesic (Sapienza University)

Paper

 

“Predicting bank insolvencies using machine learning techniques“, Anastasios Petropoulos, Vasilis Siakoulis, Evangelos Stavroulakis, Nikolaos E. Vlachogiannakis (Bank of Greece)

Discussant: Klaus Düllmann (ECB)

Paper

Presentation

 

Chair: Mario Quagliariello

 

Session 3: Defaults and accounting under IFRS9

Chair: Marina Cernov

 

“Assessing the Cyclical Implications of IFRS 9: A Recursive Model“, Jorge Abad, Javier Suarez (CEMFI, CEPR)

Discussant: Andreas Pfingsten (University of Münster)

Paper

Presentation

 

“Mortgage default modelling under IFRS9“, Edward Gaffney, Fergal  McCann (Central Bank of Ireland)

Discussant: Ruxandra Popescu (EBA)

Presentation

 

“Expected Losses and Managerial Discretion as Drivers of Countercyclical Loan Loss Provisioning“, Christian Domikowsky, Sven Bornemann, Klaus Düllmann, Philipp Grüber, Andreas Pfingsten (University of Münster, European Central Bank, Deutsche Bundesbank)

Discussion: Javier Suarez (CEMFI, CEPR)

Paper

Presentation

 

 

Day 2 – 29 November 2017

 

Session 4: Capital and liquidity requirements and financial stability

Chair: Lars Overby

 

“Semi-Structural Credit Gap Estimation“, Jan Hannes Lang, Peter Welz (European Central Bank)

Discussant: Jonathan Smith (Bank of England)

Paper

Presentation

 

“Bank capital and liquidity transformation“, Kristoffer Milonas, Jonathan Smith, and Quynh-Anh Vo (Bank of England)

Discussant: Angel Berges (UAM)

 

“Higher Capital Requirements and Bank Lending: Evidence from the Euro Area Experiments“, Zymantas Budrys, Giuseppe Cappelletti, Aurea Ponte Marques, Paolo Varraso (European Central Bank)

Discussant: Kim Abildgren (Danish Central Bank)

 

Session 5: Systemic risks

Chair: Klaus Düllmann

 

“Correlation networks to measure the systemic implications of banks resolution“ Paolo Guidici, Laura Parisi (University of Pavia, ECB)

Discussant: Scott A. Brave (Federal Reserve Bank of Chicago)

Paper

 

“Mitigating Counterparty Risk“, Yalin Gündüz (Deutsche Bundesbank)

Discussant: Giovanni Petrella (Catholic University)

Paper

 

“Calibrating Macroprudential Policy to Forecasts of Financial Stability“, Scott A. Brave, Jose A. Lopez (Federal Reserve Bank of Chicago, Federal Reserve Bank of San Francisco)

Discussant: Martin Summer (OENB)

Paper

Presentation

 

Panel discussion

Andrea Enria (EBA Chairperson), Franklin Allen (Imperial College London), Brad Carr (IIF-The Institute of International Finance), and Victoria Saporta (Bank of England)

“Use of financial modelling for regulatory purposes – Challenges ahead”