- European Systemic Risk Board / ATC workshop
Future directions for macroprudential stress-testing
Frankfurt am Main, 14 December 2018
European Central Bank, Main Building
Press Conference Room
Participation is by invitation only.
Programme
- 8:45
-
Registration and coffee
- 9:15
-
Opening remarks
John Fell, Chair, ESRB Task Force on Stress Testing
- 9:30
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Session 1: Scenario design – best practice and principles of designing scenarios
Discussant-Chair:
Jo Paisley, GARP Risk InstituteScenario design
Martin Cihak, International Monetary FundDesign of Scenarios for the Calibration of Macroprudential Policies
Elena Rancoita, European Central BankMeasuring the severity of stress testing scenarios
Bora Durdu, Board of Governors of the Federal Reserve SystemScenarios for the Climate Stress Tests
Robert Vermeulen, De Nederlandsche Bank - 11:15
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Coffee break
- 11:35
-
Session 2: Integrating stress tests into macroprudential and microprudential frameworks
Discussant-Chair:
Miguel Segoviano, International Monetary FundThe interaction between stress tests and UK bank capital requirements, including the UK CCyB strategy
Caspar Siegart, Bank of EnglandStress Testing in the USA
Kathleen Johnson, Board of Governors of the Federal Reserve SystemM-PRESS-CreditRisk
Natalia Tente, Deutsche Bundesbank - 13:00
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Lunch
- 14:00
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Session 3: Stress tests from a system-wide perspective
Discussant-Chair:
Christian Winkler, European Securities and Markets AuthorityMulti-Agent Risk Simulation Model – MARS 1.0
Benjamin King, Bank of EnglandSimulating fire-sales in a banking and shadow banking system
Susanna Calimani, European Central BankInterconnections between the French asset management sector and the rest of the French financial system
Dilyara Salakhova, Banque de FranceTowards a map of the EU financial system
Jose Fique, European Systemic Risk Board Secretariat - 15:45
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Coffee break
- 16:05
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Session 4: Panel Session: The use of stress tests for the calibration of macroprudential policy
Moderator:
John Fell, Chair, ESRB Task Force on Stress TestingPanellists:
Jo Paisley, Miguel Segoviano, Christian Winkler - 17:25
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Close of workshop
This programme may be subject to change without notice.
General information
European Central Bank
Main building, Press Conference Room
Sonnemannstrasse 20
60314 Frankfurt am Main
English
John Fell Deputy Director General, Macroprudential Policy & Financial Stability, European Central Bank, and Chair of the ESRB Task Force on Stress Testing
Rand Fakhoury Senior Economist, Bank of England
Roberta Fiori Senior Financial Economist, Banca d’Italia
Jose Fique Financial Stability Expert, ESRB Secretariat
Christoffer Kok Deputy Head of Division, European Central Bank
Elena Rancoita Financial Stability Expert, European Central Bank
Robert Vermeulen Senior Policy Advisor, De Nederlandsche Bank
Olaf Weeken Adviser, ESRB Secretariat
ESRB Secretariat
Eva Harangozo, Tel.: +49 69 1344 5389
Jose Fique, Tel.: +49 69 1344 95453