Joint IMF-EBA Colloquium — New Frontiers on Stress Testing

Day 1 — 1 March 2017

 

Opening remarks

Andrea Enria  (Chairperson, EBA)

 

Session I—Liquidity Stress Tests and Solvency-Liquidity Loops

Chair: Nellie Liang (former Federal Reserve Board)

Presenters: Stefan Schmitz (Oesterreichische Nationalbank), Maral Shamloo (Monetary and Capital Markets Department, IMF) and Adam Dolson (Office of the Superintendent of Financial Institutions of Canada)

 

Session II—Macro-financial Feedback Effects in Stress Tests

Chair: Udaibir Das (Monetary and Capital Markets Department, IMF)

Presenters: Jérôme Henry (European Central Bank), Dale Gray (Monetary and Capital Markets Department, IMF) and Olivier de Bandt (Banque de France)

 

Session III—Stress Testing and Capital Planning

Chair: Piers Haben (EBA)

Presenters: Tim Clark (Federal Reserve Board), Klaus Duellmann (European Central Bank/Single Supervisory Mechanism) and Alison Scott (Bank of England)

 

Session IV—Panel of High-Level Policy Makers

Chair: Tobias Adrian (Monetary and Capital Markets Department, IMF)

Panellists: Ryozo Himino (Financial Services Agency, Japan), Andrea Enria (EBA) and Nellie Liang (former Federal Reserve Board)

 

 

Day 2 — 2 March 2017

 

Session V—Stress Testing and Macroprudential Policies

Chair: Tim Clark (Federal Reserve Board)

Presenters: Robert Bichsel (Swiss National Bank) and Eric Wong (Hong Kong Monetary Authority)

 

Session VI—Governance and Integrity of Stress Testing

Chair: Ryozo Himino (Financial Services Agency, Japan)

Presenters: Willem Pieter De Groen (Centre for European Policy Studies), Mario Quagliariello (EBA) and Teresa Walsh (Financial Services – Information Sharing and Analysis Center)

 

Closing Session – Where do we go from here?

Chair: James Morsink (Monetary and Capital Markets Department, IMF)

Panellists: Nellie Liang (former Federal Reserve Board), Udaibir Das (Monetary and Capital Markets Department, IMF), Piers Haben (EBA), Tim Clark (Federal Reserve Board) and Ryozo Himino (Financial Services Agency, Japan) 

 

Professional Workshop: Recent Stress Test Related Research by Selected Participants

Coordinators: Udaibir Das (Monetary and Capital Markets Department, IMF) & Piers Haben (EBA) 

Presenters:

Karlo Kauko (Bank of Finland), Macro-Financial VAR Models

Roberto Nygaard (Central Bank of Brazil), Contagion of Car Wash Operation

Tomiyuki Kitamura (Bank of Japan), Macro Stress-Testing at the Bank of Japan

Søren Korsgaard (Danmarks Nationalbank), Incorporating Funding Costs in Top-down Stress Tests

Elizaveta Danilova (Bank of Russia), Stress-Testing the Mortgage Sector