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

Friday, 14 December 2018

8:45

Registration and coffee

9:15

Opening remarks

John Fell, Chair, ESRB Task Force on Stress Testing

9:30

Session 1: Scenario design – best practice and principles of designing scenarios

Discussant-Chair:
Jo Paisley, GARP Risk Institute

Scenario design
Martin Cihak, International Monetary Fund

Design of Scenarios for the Calibration of Macroprudential Policies
Elena Rancoita, European Central Bank

Measuring the severity of stress testing scenarios
Bora Durdu, Board of Governors of the Federal Reserve System

Scenarios for the Climate Stress Tests
Robert Vermeulen, De Nederlandsche Bank

11:15

Coffee break

11:35

Session 2: Integrating stress tests into macroprudential and microprudential frameworks

Discussant-Chair:
Miguel Segoviano, International Monetary Fund

The interaction between stress tests and UK bank capital requirements, including the UK CCyB strategy
Caspar Siegart, Bank of England

Stress Testing in the USA
Kathleen Johnson, Board of Governors of the Federal Reserve System

M-PRESS-CreditRisk
Natalia Tente, Deutsche Bundesbank

13:00

Lunch

14:00

Session 3: Stress tests from a system-wide perspective

Discussant-Chair:
Christian Winkler, European Securities and Markets Authority

Multi-Agent Risk Simulation Model – MARS 1.0
Benjamin King, Bank of England

Simulating fire-sales in a banking and shadow banking system
Susanna Calimani, European Central Bank

Interconnections between the French asset management sector and the rest of the French financial system
Dilyara Salakhova, Banque de France

Towards a map of the EU financial system
Jose Fique, European Systemic Risk Board Secretariat

15:45

Coffee break

16:05

Session 4: Panel Session: The use of stress tests for the calibration of macroprudential policy

Moderator:
John Fell, Chair, ESRB Task Force on Stress Testing

Panellists:
Jo Paisley, Miguel Segoviano, Christian Winkler

17:25

Close of workshop

This programme may be subject to change without notice.

General information