Stress Testing of Credit Risk Portfolios: The Link between Macro and Micro
A workshop hosted by the Basel Committee on Banking Supervision and De Nederlandsche Bank
Programme
| 9.00 |
Registration and coffee |
| 9.30 | Opening remarks by Arnold Schilder, Executive Director, De Nederlandsche Bank |
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Systemic stress Chair: Antonella Foglia (Banca d'Italia) |
| 9.40 | A framework for quantifying systemic stability Piergiorgio Alessandri (Bank of England) Prasanna Gai (Bank of England) Sujit Kapadia (Bank of England) Nada Mora (Bank of England) Claus Puhr (Oesterreichische Nationalbank) |
| 10.00 | Crash testing German banks (presentation) Klaus Düllmann (Deutsche Bundesbank) Martin Erdelmeier (Deutsche Bundesbank) |
| 10.20 | Discussion by the chair |
| 10.40 | Coffee break |
| 11.00 | Keynote speech by Professor Darrell Duffie introduced by Myron Kwast |
| "Credit Risk Transfer and the Efficiency and Stability of the Financial System" |
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| 12.00 | Lunch |
| Pass through and scenarios Chair: Bjørne Dyre Syversten (Norges Bank) |
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| 13.15 | Monetary policy and bank distress: An integrated micro-macro approach Ferre De Graeve (Univeriteit Gent) Thomas Kick (Deutsche Bundesbank) Michael Koetter (University of Groningen) |
| 13.35 | Macro stress and worst case analysis of loan portfolios (presentation) Thomas Breuer (Fachhochschule Vorarlberg) Martin Jandacka (Fachhochschule Vorarlberg) Klaus Rheinberger (Fachhochschule Vorarlberg) Martin Summer (Oesterreichische Nationalbank) |
| 13.55 | Discussion by the chair |
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(Macro) default Chair: Kostas Tsatsaronis (Bank for International Settlements) |
| 14.15 | Recovery rates, default probabilities and the credit cycle (presentation) Max Bruche (Centro de Estudios Monetarios y Financieros) Carlos Gonzalez-Aguado (Centro de Estudios Monetarios y Financieros) |
| 14.35 | Firm default and aggregate fluctuations Jesper Lindé (Sveriges Riksbank) Tor Jacobson (Sveriges Riksbank) Rikard Nilsson (Svenska Handelsbanken) Kasper Roszbach (Sveriges Riksbank) |
| 14.55 | Macroeconomic default modelling and stress testing (presentation) Dietske Simons (De Nederlandsche Bank) Ferdinand Rolwes (De Nederlandsche Bank) |
| 15.15 | Discussion by the chair |
| 15.35 | Coffee break |
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Latent variables Chair: Muriel Tiesset (Banque de France) |
| 15.55 | Modelling the distribution of credit losses with observable and latent factors Gabriel Jiménez (Bank of Spain) Javier Mencía (Bank of Spain) |
| 16.15 | Common factors for frailty correlated default (presentation) Siem Jan Koopman (VU University, Amsterdam) André Lucas (VU University, Amsterdam) Bernd Schwaab (Tinbergen Institute) |
| 16.35 | Discussion by the chair |
| 16.55 | Drinks |