Stress Test Conference Programme 21

Stress Testing and Macro-prudential Regulation: A Trans-Atlantic Assessment 29th and 30th October 2015 London School of ...

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Stress Testing and Macro-prudential Regulation: A Trans-Atlantic Assessment 29th and 30th October 2015 London School of Economics and Political Science

Organisers: Ron Anderson (Systemic Risk Centre, London School of Economics and CEPR), Charles Goodhart (Systemic Risk Centre, Financial Markets Group, London School of Economics and CEPR), Philipp Hartmann (European Central Bank and CEPR), Malcolm Knight (Systemic Risk Centre, London School of Economics and Centre for International Governance Innovation), Andreas Lehnert (Board of Governors of the Federal Reserve System), Miguel Segoviano (International Monetary Fund) Venue: Room 3.21, Old Building, LSE.

Arrival and Registration: Room 3.16, Old Building, LSE

Programme Day 1 (29th October 2015) 1pm - 1:30pm

Arrival and Registration

1:30pm - 3pm

Session 1 “Evaluating the Experience of Supervisory Stress Testing of Large Banks Since the Crisis” How do stress testing methodologies compare across supervisory authorities? How should test failures be treated? What is the relation of stress testing to other tools of prudential regulation? Presentations by Viral Acharya (New York University and CEPR), Charles Goodhart (Systemic Risk Centre, Financial Markets Group, London School of Economics and CEPR), Andreas Lehnert (Board of Governors of the Federal Reserve System), and Alex Brazier (Bank of England)

3pm - 3:30pm

Keynote Address “The Role of Stress Testing in the European Central Bank’s Policy Framework” Vítor Constâncio (Vice-President, European Central Bank)

3:30pm - 4pm

Coffee Break

4pm - 5:30pm

Session 2 “Stress Testing and Systemic Stability” What new information has been created by stress testing and other initiatives 1

and how should it be disseminated? Does systemic stress testing lead to opaque prudential regulation? What does stress testing of banks tell us about risks outside of the banking system? Has supervisory stress testing reduced systemic risk? Presentations by Udaibir Das (International Monetary Fund), Til Schuermann (Oliver Wyman), and Hyun-Song Shin (Bank of International Settlements and CEPR) 5:30pm

Close of Day 1

5:30pm - 6:30pm

Reception for Conference Participants

7:00pm

Speakers’ Dinner (By invitation)

Day 2 (30th October 2015) 9am - 10am

10am-10:15am

“The Bank of England’s Approach to Stress Testing the UK Banking System” Alex Brazier (Bank of England) Discussion: Thomas Huertas (Ernst & Young) and Philipp Hartmann (European Central Bank and CEPR) Coffee Break

10:15am- 11:15am

“Finding Comfort in Stress Tests” Deniz Igan (International Monetary Fund) Discussion: Alex Michaelides (Imperial College)

11:15am- 12:15pm

“The Bank-Sovereign Nexus Across Borders” Bernd Schwaab (European Central Bank) Discussion: Sascha Steffen (European School of Management and Technology)

12:15pm -1:30pm 1:30pm - 2:30pm

Lunch “Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks' Financial Fragility” Giuseppe Montesi (University of Siena), Giovanni Papiro (University of Siena) Discussion: Jon Danielsson (SRC London School of Economics)

2:30pm - 3:30pm

“Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction” Matthew Pritsker (Federal Reserve Bank of Boston) Discussion: Christian Julliard (SRC London School of Economics)

3:30pm - 3:45pm

Coffee break

3:45pm - 4:45pm

“Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach” Kartik Anand (Bank of England) Discussion: Pierre Chaigneau (HEC Montréal) “Pandemic in Financial Systems and Liquidity Emergency” Julien Idier (Banque de France) Discussion : Aytek Malkhozov (BIS)

4:45pm - 5:45pm

5:45pm

Conference ends 2