Research and Supervision: A Workshop on Applied Banking Research, Oslo, 12-13 June 2001

June 2001

A research workshop for economists at central banks and supervisory authorities was held in Oslo, Norway on June 12-13. The workshop - Research and Supervision: A Workshop on Applied Banking Research - was organised by the Basel Committee on Banking Supervision and sponsored by the Norges Bank. The workshops are held on a biannual basis to facilitate contacts among researchers of different institutions and to stimulate both theoretical and empirical research that assists bank supervision and regulation.

The workshop was organised according to four themes: Implementing Risk-based Capital, Risk Models, the Use of Market Information and Structural and Other Banking Issues. The programme for the workshop along with the papers that were selected for discussion are below:

Opening remarks by Mr. Jarle Bergo, Deputy Governor, Norges Bank

 

Opening remarks by Mr. Urs W. Birchler, Chairman of the Basel Committee's Research Task Force

Session 1: Implementing Risk Based Capital

(Chair: William Coen, Basel Committee Secretariat)

The relationship between risk and capital in Swiss commercial banks: a panel study (PDF: 16 pages, 175 kb)   by Robert Bichsel and Juerg Blum (Swiss National Bank)

Comments (PDF: 5 pages, 130 kb)   by Richard Kopcke (Federal Reserve Bank of Boston)

 

The internal ratings based approach for capital adequacy determination: empirical evidence from Sweden (PDF: 77 pages, 806 kb)   by Kenneth Carling, Tor Jacobson, Jesper Lindé and Kasper Roszbach (Sveriges Riksbank)

Comments (PDF: 13 pages, 33 kb)   by Frank Heid (Deutsche Bundesbank)

 

The cyclical behaviour of optimal bank capital (PDF: 36 pages, 130 kb)   by Arturo Estrella (Federal Reserve Bank of New York)

Comments (PDF: 13 pages, 19 kb)   by Jesús Saurina (Banco de España)

 

Session 2: Risk Models

(Chair: Jack Reidhill, Federal Deposit Insurance Corporation)

How accurate are value-at-risk models at commercial banks? (PDF: 49 pages, 352 kb)   by Jeremy Berkowitz (University of California) and James O'Brien (Federal Reserve Board)

Comments (PDF: 8 pages, 15 kb)   by Simone Manganelli (European Central Bank)

 

Benchmarking Deutsche Bundesbank's default risk model, the KMV private firm model and common financial ratios for German corporations (PDF: 55 pages, 587 kb)   by Stefan Blochwitz, Thilo Liebig (Deutsche Bundesbank) and Mikael Nyberg (KMV, LLC)

Comments by Alan Cathcart (Financial Supervisory Authority - United Kingdom)

 

EL-equivalence in alternative credit models (PDF: 8 pages, 130 kb)   by Jon Frye (Federal Reserve Bank of Chicago)

Comments (PDF: 4 pages, 11 kb)   by Esa Jokivuolle (Bank of Finland)

 

Challenges in cross border supervision, the Nordic experience by Mr. Bj¢rn Skogstad Aamo, Director of the Banking, Insurance and Securities Commission of Norway

 

Session 3: Using Market Information

(Chair: Myron L. Kwast, Board of Governors of the Federal Reserve System)

Regulator use of market data to improve the identification of bank financial health (PDF: 49 pages, 239 kb)   by Timothy J. Curry, Peter J. Elmer and Gary Fissel (Federal Deposit Insurance Corporation)

Comments (PDF: 10 pages, 16 kb)   by Akira Ieda (Bank of Japan)

 

Subordinated debt and the quality of market discipline in banking (PDF: 39 pages, 82 kb)   by Mark Levonian (Federal Reserve Bank of San Francisco)

Comments (PDF: 9 pages, 26 kb)   by Gerald Hanweck (Federal Deposit Insurance Corporation)

 

Of Moody's & Merton: a structural model of bond rating transitions (PDF: 24 pages, 124 kb)   by Michael B. Gordy and Erik A. Heitfield (Board of Governors of the Federal Reserve System)

Comments (PDF: 11 pages, 13 kb)   by Vichett Oung (Commission Bancaire)

 

Equity and bond market signals as leading indicators of bank fragility in Europe (PDF: 36 pages, 237 kb)   by Reint Gropp, Jukka Vesala and Giuseppe Vulpes (European Central Bank)

Comments (PDF: 1 pages, 9 kb)   by Juerg Blum (Swiss National Bank)

 

Session 4: Structural and Other Banking Issues

(Chair: Iman P. P. van Lelyveld, De Nederlandsche Bank N. V.)

Endogenous product differentiation in credit markets: what do borrowers pay for? (PDF: 22 pages, 246 kb)   by Moshe Kim (University of Haifa), Eirik Gaard Kristiansen and Bent Vale (Norges Bank)

Comments (PDF: 2 pages, 18 kb)   by Henri Pagés (Banque de France)

 

Is there Market Discipline in the Swiss Banking Sector? (PDF: 33 pages, 374 kb)   by Urs W. Birchler and A. Maechler (Swiss National Bank)

Comments (PDF: 6 pages, 18 kb)   by Hendrik Nel (South African Reserve Bank)