Banking and Financial Stability: A Workshop on Applied Banking Research
A research workshop for economists at central banks and supervisory authorities was held in Vienna, Austria on 20-21 April 2005. The workshop - Banking and Financial Stability: A Workshop on Applied Banking Research - was organised by the Basel Committee on Banking Supervision and was sponsored by the Oesterreichische Nationalbank.
The workshops are held on a biennial basis to facilitate contacts among researchers of different institutions and to stimulate both theoretical and empirical research that assist bank supervision and regulation.
| Wednesday 20 April | |
| 9.30 | Registration and coffee |
| 10.00 | Opening Remarks by Univ.-Doz. Dr Josef Christl (Executive Director Economics and Financial Markets, Oesterreichische Nationalbank) |
| 10.15 | Session 1: Impact of Regulation |
| Chair: Bent Vale (Norges Bank) | |
| 10.20 | Liquidity, Banking Regulation and the Macroeconomy (PDF, 26 pages, 251 kb) |
| Oriol Aspachs (London School of Economics) Erlend Nier (Bank of England) Muriel Tiesset (Commission bancaire) |
|
| 10.45 | Discussion by Philipp Hartmann (European Central Bank) |
| 10.55 | General discussion |
| 11.55 | Market-to-book, Charter Value, and Bank Risk-Taking - A Recent Perspective (PDF, 63 pages, 2098 kb) |
| Frederick Furlong (Federal Reserve Bank of San Francisco) Simon Kwan (Federal Reserve Bank of San Francisco) |
|
| 11.50 | Discussion by Stéphanie Stolz (Deutsche Bundesbank and Kiel Institute for World Economics) |
| 12.00 | General discussion |
| 12.15 | Credit cycles, credit risk, and prudential regulation (PDF, 38 pages, 137 kb) |
| Gabriel Jiménez (Banco de España) Jesús Saurina (Banco de España) |
|
| 12.40 | Discussion by Iman van Lelyveld (De Nederlandsche Bank) |
| 12.50 | General discussion |
| 13.00 | Speech by Andreas Ittner (Director of Financial Institutions and Markets Section, Oesterreichische Nationalbank) |
| 14.30 | Session 2: Credit risk models |
| Chair: Myron Kwast (Board of Governors of the Federal Reserve System) | |
| 14.35 | An Empirical Evaluation of Structural Credit Risk Models |
| Nikola Tarashev (Bank for International Settlements) | |
| 15.00 | Discussion by Ricardo Schechtman (Central Bank of Brazil) |
| 15.10 | General discussion |
| 15.25 | Measuring Systematic Risk in Recoveries on Defaulted Debt: Firm-Level Ultimate LGDs |
| Mark Carey (Board of Governors of the Federal Reserve System) Michael Gordy (Board of Governors of the Federal Reserve System) |
|
| 15.50 | Discussion by Klaus Dúllmann (Deutsche Bundesbank) |
| 16.00 | General discussion |
| 16.30 | Towards an Integrated Measurement of Credit Risk and Market Risk |
| Thomas Breuer (FH Vorarlberg) Martin Jandacka (FH Vorarlberg) Gerald Krenn (Austrian National Bank) |
|
| 16.55 | Discussion by Dirk Tasche (Deutsche Bundesbank) |
| 17.05 | General discussion |
| 17.20 | End of Wednesday sessions |
| Thursday 21 April | |
| 8.30 | Registration and coffee |
| 9.00 | Session 3: Market discipline and the use of market information |
| Chair: Urs Birchler (Swiss National Bank) | |
| 9.05 | Do "too big to fail" expectations boost large bank issuer ratings? |
| Bertrand Rime (Swiss National Bank) | |
| 9.30 | Discussion by João Santos (Federal Reserve Bank of New York) |
| 9.40 | General discussion |
| 9.55 | Bank Risk and Revenue Diversification: An Assessment of Using Equity Returns |
| Kevin J Stiroh (Federal Reserve Bank of New York) | |
| 10.20 | Discussion by Nancy Sofie Masschelein (National Bank of Belgium) |
| 10.30 | General discussion |
| 11.00 | The Depositor behind the Discipline: A Micro-level Case Study of Hamilton Bank |
| Andrew M Davenport (Federal Deposit Insurance Corporation) Kathleen McDill (Federal Deposit Insurance Corporation) |
|
| 11.25 | Discussion by Mark Levonian (Office of the Comptroller of the Currency) |
| 11.35 | General discussion |
| 13.30 | Session 4: Financial Stability and Contagion |
| Chair: Kostas Tsatsaronis (Bank for International Settlements) | |
| 13.35 | Stress Testing Housing Loan Portfolios: A Regulatory Case Study (PDF, 47 pages, 278 kb) |
| Anthony Coleman (Australian Prudential Regulation Authority) Neil Esho (Australian Prudential Regulation Authority) Ilanko Sellathurai (Australian Prudential Regulation Authority) Niruba Thavabalan (Australian Prudential Regulation Authority) |
|
| 14.00 | Discussion by Tor Jacobson (Sveriges Riksbank) |
| 14.10 | General discussion |
| 14.25 | A Market Based Macro Stress Test for the Corporate Exposure of UK Banks (PDF, 41 pages, 317 kb) |
| Mathias Drehmann (Bank of England) | |
| 14.50 | Discussion by Kimmo Virolainen (Bank of Finland) |
| 15.00 | General discussion |
| 15.30 | Bank Risks, Risk Preferences and Lending (PDF, 34 pages, 348 kb) |
| Tomasz Chmielewski (National Bank of Poland) | |
| 15.55 | Discussion by Kjersti-Gro Lindquist (Norges Bank) |
| 16.05 | General discussion |
| 16.20 | Closing remarks by Myron Kwast (Board of Governors of the Federal Reserve System and Co-Chairman of the Research Task Force) |
| 16.35 | End of Workshop |
Workshop Organisers:
- Martin Birn (Basel Committee Secretariat)
- Antonella Foglia (Banca d'Italia)
- Myron Kwast (Board of Governors of the Federal Reserve System)
- Martin Summer (Oesterreichische Nationalbank)
- Kostas Tsatsaronis (Bank for International Settlements)
- Bent Vale (Norges Bank)