Workshop on "Challenges in banking research"

March 2009

A research workshop for economists at central banks and supervisory authorities was held in Madrid on 28-29 May 2009. The workshop - Challenges in banking research - was organised by the Research Task Force of the Basel Committee on Banking Supervision and sponsored by the Bank of Spain.

The workshops are held every two years to facilitate contacts among researchers of different institutions and to stimulate both theoretical and empirical research that assist bank supervision and regulation.

Participation in the event is by invitation only.


Thursday 28 May
8.30   Registration and coffee
9.00   Opening address
  José Maria Roldán (Bank of Spain)
  Peter Praet (National Bank of Belgium)
9.15   Session 1: Issues in securitisation
Session chair and discussant: Rafael Repullo (CEMFI)
  Incentives and tranche retention in securitization: a screening model
  Ingo Fender (Bank for International Settlements)
  Janet Mitchell (National Bank of Belgium)
  The relative performance of securitized and retained mortgage loans
  John Krainer (Federal Reserve Bank of San Francisco)
  Elizabeth Laderman (Federal Reserve Bank of San Francisco)
11:00 Coffee break
11:30 Session 2: Issues in credit risk measurement
  Session chair and discussant: Nikola Tarashev (Bank for International Settlements)
  Are banks different? Evidence from the CDS market
  Burkhard Raunig (Austrian National Bank)
  Martin Scheicher (European Central Bank)
  An empirical study of returns on defaulted debt and the discount rate for loss-given-default
  Michael Jacobs, Jr (Office of the Comptroller of the Currency)
13:15  Lunch
14:45 Session 3: Issues in liquidity risk
  Session chair and discussant: Klaus Duellmann (Deutsche Bundesbank)
  Funding liquidity risk: definition and measurement
  Mathias Drehmann (Bank for International Settlements)
  Kleopatra Nikolaou (European Central Bank)
  Liquidity stress tester: a macro model for stress testing banks' liquidity risk
  Jan Willem van den End (The Netherlands Bank)
  A liquidity stress testing framework with interactions between market and credit risks
  Eric Wong (Hong Kong Monetary Authority)
  Cho-Hoi Hui (Hong Kong Monetary Authority)
17:15 End of Thursday session 
Friday 29 May
8:30 Registration and coffee
9:00 Session 4: Issues in loan pricing
  Session chair and discussant: Massimiliano Affinito (Bank of Italy)
  Bank capital, borrower power, and loan rates
  João Santos (Federal Reserve Bank of New York)
  Andrew Winton (University of Minnesota)
  Do audit fees influence credit risk ans asymmetric information problems? Evidence from the syndicated loan market
  Lewis Gaul (Office of the Comptroller of the Currency
  Pinar Uysal (Boston College)
10:45 Coffee Break
11:15 Session 5: Systemic risk
  Session chair and discussant: Martin Summer (National Bank of Austria)
  Counterparty risk and contagion in the Spanish interbank market
  Javier Mencia (Bank of Spain)
  Complexity and crises in financial systems
  Kartik Anand (King's college London)
  Simon Brennan (Bank of England)
  Prasana Gai (Australian National University and Bank of England)
  Sujit Kapadia (Bank of England)
  Matthew Willison (Bank of England)
13:00 Lunch
14:30 Session 6: Procyclicality
  Session chair and discussant: Jesús Saurina (Bank of Spain)
  Do supervisory rating standards change over time?
  John Krainer (Federal Reserve Bank of San Francisco)
  Jose A Lopez (Federal Reserve Bank of San Francisco)
  Procyclicality and fair value accounting
  Alicia Novoa (International Monetary Fund)
  Jodi Scarlata (International Monetary Fund)
  Juan Solé (International Monetary Fund)
  Japan's capital crunch: a new evidence
  Simon Gilchrist (Boston University)
  Mitsuru Katagiri (Bank of Japan)
  Hitoshi Mio (Bank of Japan)
16:45 Closing remarks
  Myron Kwast (Board of Governors of the Federal Reserve System)

Programme Committee:

  • Paul Kupiec (Federal Deposit Insurance Corporation)
  • Martin Birn (Basel Committee Secretariat)
  • Antonella Foglia (Bank of Italy)
  • Janet Mitchell (National Bank of Belgium)
  • Rafael Repullo (CEMFI)
  • Jesús Saurina (Bank of Spain)
  • Martin Summer (Austrian National Bank)