Banking and Financial Stability: A Workshop on Applied Banking Research

March 2003

Banking and Financial Stability: A Workshop on Applied Banking Research

March 2003

A research workshop for economists at central banks and supervisory authorities was held in Rome, Italy on 20-21 March 2003. 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 Banca d'Italia. 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.


Opening remarks by Mr Bruno Bianchi, Banca d'Italia, Central Manager for Banking and Financial Supervision

Session 1: Evaluation of risk models
Chair: Thilo Liebig (Deustche Bundesbank)

Analysis of pro-cyclical effects on capital requirements derived from a rating system (PDF: 26 pages, 1024 kb)
Carlos Corcóstegui (Banco de España)
Luis González (Banco de España)
Antonio Marcelo (Banco de España)
Carlos Trucharte (Banco de España)

Discussion by Mark Levonian (Federal Reserve Bank of San Francisco)   (PDF: 20 pages, 164 kb)

Asset correlation of German corporate obligors: its estimation, its drivers and implications for regulatory capital (PDF: 29 pages, 193 kb)
Klaus Düllmann (Deutsche Bundesbank)
Harald Scheule (University of Regensberg)

Discussion by Erik Heitfield (Federal Reserve Board)

Loan characteristics and credit risk (PDF: 35 pages, 302 kb)
Gabriel Jiménez (Banco de España)
Jesús Saurina (Banco de España)

Discussion by Hiroaki Miyagishi (Bank of Japan)   (PDF: 20 pages, 164 kb)

Quantification of operational risk (PDF: 32 pages, 381 kb)
Patrick Defontnouvelle (Federal Reserve Bank of Boston)
Virginia DeJesus-Rueff (Federal Reserve Bank of Boston)
John Jordan (Federal Reserve Bank of Boston)
Eric Rosengren (Federal Reserve Bank of Boston)

Discussion by Fabrizio Leandri (Banca d'Italia)   (PDF: 20 pages, 164 kb)

Session 2: Macro-economic implications of bank and regulatory behaviour
Chair: Iman van Lelyveld (Nederlandsche Bank)

Are regulatory capital adequacy rules pro-cyclical? (PDF: 14 pages, 158 kb)
Frank Heid (Deutsche Bundesbank)

Discussion by Gerald Krenn (Oesterreichische Nationalbank)   (PDF: 20 pages, 164 kb)

Bank capital and lending behaviour: empirical evidence for Italy (PDF: 42 pages, 349 kb)
Leonardo Gambacorta (Banca d'Italia)
Paolo Emilio Mistrulli (Banca d'Italia)

Discussion by Vichett Oung (Banque de France)   (PDF: 20 pages, 164 kb)

Banks. buffer capital: how important is risk (PDF: 24 pages, 235 kb)
Kjersti-Gro Lindquist (Norges Bank)

Discussion by Glenn Hoggarth (Bank of England)   (PDF: 20 pages, 164 kb

Remarks by Mr Antonio Fazio, Governor of Banca d'Italia

Session 3: Market discipline
Chair: Myron Kwast (Federal Reserve Board)

What does the yield on subordinated bank debt measure? (PDF: 52 pages, 668 kb)
Diana Hancock (Federal Reserve Board)
Urs W. Birchler (Swiss National Bank)

Discussion by Kathleen McDill (FDIC)   (PDF: 20 pages, 164 kb)

Using securities market information for supervisory monitoring (PDF: 48 pages, 157 kb)
Jose A. Lopez (Federal Reserve Bank of San Francisco)
John Krainer (Federal Reserve Bank of San Francisco)

Discussion by Reint Gropp (European Central Bank)

Market discipline, disclosure and moral hazard in banking (PDF: 57 pages, 177 kb)
Erlend Nier (Bank of England)
Ursel Baumann (Bank of England)

Discussion by Konstantinos Tsatsaronis (Bank for International Settlements)   (PDF: 20 pages, 164 kb)

Session 4: Competition and structural issues
Chair: Bent Vale (Norges Bank)

Bad loans and entry in local credit markets (PDF: 41 pages, 372 kb)
Marcello Bofondi (Banca d'Italia)
Giorgio Gobbi (Banca d'Italia)

Discussion by David Ruthenberg (Bank of Israel)   (PDF: 20 pages, 164 kb)

Bank mergers, diversification and risk (PDF: 47 pages, 154 kb)
Antonella Foglia (Banca d'Italia)
Paolo Marullo Reedtz (Banca d'Italia)

Discussion by Kasper Roszbach (Sveriges Riksbank)   (PDF: 20 pages, 164 kb)

Geographic diversification among US banks: implications for portfolios, performance and risk (PDF: 31 pages, 336 kb)
Donald P. Morgan (Federal Reserve Bank of New York)
Katherine A. Samolyk (FDIC)

Discussion by Jaap Bos (Nederlandsche Bank)   (PDF: 20 pages, 164 kb)

Closing remarks from Mr Urs Birchler (Swiss National Bank), Chair of the Research Task Force