Stress Testing of Credit Risk Portfolios: The Link Between Macro and Micro

The Research Task Force (RTF) of the Basel Committee on Banking Supervision will host a workshop on stress testing credit risk for banks at De Nederlandsche Bank in Amsterdam on 7th March 2008. Through the RTF, the Basel Committee seeks to encourage research on this important topic by researchers within central banks and supervisory agencies, as well as by academic researchers. Submissions should be limited to unpublished, recent work.

The topic of the conference is stress testing of infrequently traded credit risk. The keynote speech will be given by professor Darrell Duffie.

Workshop programme

 

The Programme Committee consists of Iman van Lelyveld (Netherlands Bank, Radboud University), and Hao Zhou (Federal Reserve Board and MIT Sloan School of Management). Researchers offering to present a paper are requested to send their paper to Neil Esho at the Basel Committee's Secretariat (neil.esho@bis.org). Submissions must be received by 9 December 2007. The accepted papers' authors will be notified by 21 January 2008. Complete versions of accepted papers are due by 15 February 2008. Any additional queries should also be directed to neil.esho@bis.org.