Banking and Financial Stability: A Workshop on Applied Banking Research

A research workshop for economists at central banks and supervisory authorities was held in Vienna, Austria on 20-21 April 2005. 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 Oesterreichische Nationalbank.

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.

Wednesday 20 April
 
9.30   Registration and coffee
10.00   Opening Remarks by Univ.-Doz. Dr Josef Christl (Executive Director Economics and Financial Markets, Oesterreichische Nationalbank)
10.15   Session 1: Impact of Regulation
  Chair: Bent Vale (Norges Bank)
10.20   Liquidity, Banking Regulation and the Macroeconomy (PDF, 26 pages, 251 kb)
  Oriol Aspachs (London School of Economics)
Erlend Nier (Bank of England)
Muriel Tiesset (Commission bancaire)
10.45   Discussion by Philipp Hartmann (European Central Bank)
10.55   General discussion
11.55   Market-to-book, Charter Value, and Bank Risk-Taking - A Recent Perspective (PDF, 63 pages, 2098 kb)
  Frederick Furlong (Federal Reserve Bank of San Francisco)
Simon Kwan (Federal Reserve Bank of San Francisco)
11.50   Discussion by Stéphanie Stolz (Deutsche Bundesbank and Kiel Institute for World Economics)
12.00   General discussion
12.15   Credit cycles, credit risk, and prudential regulation (PDF, 38 pages, 137 kb)
  Gabriel Jiménez (Banco de España)
Jesús Saurina (Banco de España)
12.40   Discussion by Iman van Lelyveld (De Nederlandsche Bank)
12.50   General discussion
13.00   Speech by Andreas Ittner (Director of Financial Institutions and Markets Section, Oesterreichische Nationalbank)
14.30   Session 2: Credit risk models
  Chair: Myron Kwast (Board of Governors of the Federal Reserve System)
14.35   An Empirical Evaluation of Structural Credit Risk Models
  Nikola Tarashev (Bank for International Settlements)
15.00   Discussion by Ricardo Schechtman (Central Bank of Brazil)
15.10   General discussion
15.25   Measuring Systematic Risk in Recoveries on Defaulted Debt: Firm-Level Ultimate LGDs
  Mark Carey (Board of Governors of the Federal Reserve System)
Michael Gordy (Board of Governors of the Federal Reserve System)
15.50  Discussion by Klaus Dúllmann (Deutsche Bundesbank)
16.00   General discussion
16.30   Towards an Integrated Measurement of Credit Risk and Market Risk
  Thomas Breuer (FH Vorarlberg)
Martin Jandacka (FH Vorarlberg)
Gerald Krenn (Austrian National Bank)
16.55   Discussion by Dirk Tasche (Deutsche Bundesbank)
17.05   General discussion
17.20   End of Wednesday sessions
Thursday 21 April
 
8.30   Registration and coffee
9.00   Session 3: Market discipline and the use of market information
  Chair: Urs Birchler (Swiss National Bank)
9.05   Do "too big to fail" expectations boost large bank issuer ratings?
  Bertrand Rime (Swiss National Bank)
9.30  Discussion by João Santos (Federal Reserve Bank of New York)
9.40   General discussion
9.55   Bank Risk and Revenue Diversification: An Assessment of Using Equity Returns
  Kevin J Stiroh (Federal Reserve Bank of New York)
10.20  Discussion by Nancy Sofie Masschelein (National Bank of Belgium)
10.30   General discussion
11.00   The Depositor behind the Discipline: A Micro-level Case Study of Hamilton Bank
  Andrew M Davenport (Federal Deposit Insurance Corporation)
Kathleen McDill (Federal Deposit Insurance Corporation)
11.25   Discussion by Mark Levonian (Office of the Comptroller of the Currency)
11.35   General discussion
13.30   Session 4: Financial Stability and Contagion
  Chair: Kostas Tsatsaronis (Bank for International Settlements)
13.35   Stress Testing Housing Loan Portfolios: A Regulatory Case Study (PDF, 47 pages, 278 kb)
  Anthony Coleman (Australian Prudential Regulation Authority)
Neil Esho (Australian Prudential Regulation Authority)
Ilanko Sellathurai (Australian Prudential Regulation Authority)
Niruba Thavabalan (Australian Prudential Regulation Authority)
14.00   Discussion by Tor Jacobson (Sveriges Riksbank)
14.10   General discussion
14.25   A Market Based Macro Stress Test for the Corporate Exposure of UK Banks (PDF, 41 pages, 317 kb)
  Mathias Drehmann (Bank of England)
14.50   Discussion by Kimmo Virolainen (Bank of Finland)
15.00   General discussion
15.30   Bank Risks, Risk Preferences and Lending (PDF, 34 pages, 348 kb)
  Tomasz Chmielewski (National Bank of Poland)
15.55  Discussion by Kjersti-Gro Lindquist (Norges Bank)
16.05   General discussion
16.20   Closing remarks by Myron Kwast (Board of Governors of the Federal Reserve System and Co-Chairman of the Research Task Force)
16.35   End of Workshop

Workshop Organisers:

  • Martin Birn (Basel Committee Secretariat)
  • Antonella Foglia (Banca d'Italia)
  • Myron Kwast (Board of Governors of the Federal Reserve System)
  • Martin Summer (Oesterreichische Nationalbank)
  • Kostas Tsatsaronis (Bank for International Settlements)
  • Bent Vale (Norges Bank)