Banking, Risk and Regulation: A Workshop on Applied Banking Research
A research workshop for economists at central banks and supervisory authorities will be held in Washington, DC on 10-11 May 2007. The workshop - Banking, Risk and Regulation: A Workshop on Applied Banking Research - is being organised by the Research Task Force of the Basel Committee on Banking Supervision and will be sponsored by the Federal Deposit Insurance Corporation.
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 10 May | |
| 8.30 | Registration and coffee |
| 9.00 | Opening address |
| 9.15 | Opening remarks by Myron L Kwast (Board of Governors of the Federal Reserve System and Co-Chairman of the Research Task Force) |
| 9.30 | Session 1: Credit risk and risk assessment |
| Chair: Nancy Masschelein (National Bank of Belgium) | |
| 09.30 | Debt composition and recoveries on defaulted debt |
| Mark Carey (Board of Governors of the Federal Reserve System) | |
| Michael Gordy (Board of Governors of the Federal Reserve System) | |
| 10.00 | Discussion by Klaus Düllmann (Deutsche Bundesbank) |
| General Discussion | |
| 10.30 | Coffee break |
| 11.00 | Empirical Analysis of Corporate Credit Lines (PDF, 35 pages, 227 kb) |
| Gabriel Jiminéz (Bank of Spain) | |
| Jose A Lopez (Federal Reserve Bank of San Francisco) | |
| Jesús Saurina (Bank of Spain) | |
| 11.30 | Discussion by Antonella Foglia (Bank of Italy) |
| General discussion | |
| 12.00 | Credit risk and business cycle over different regimes |
| Juri Marcucci (Bank of Italy) | |
| Mario Quagliariello (Bank of Italy) | |
| 12.30 | Discussion by Til Schuermann (Federal Reserve Bank of New York) |
| General discussion | |
| 13.00 | Luncheon speech by Peter Praet (National Bank of Belgium and Co-Chairman of the Research Task Force) |
| 13.15 | Lunch |
| 14.30 | Session 2: Liquidity and systemic risk |
| Chair: Jürg Blum (Swiss National Bank) | |
| 14.30 | Bank's choice of liquidity: the role of fire sales and entry |
| Viral Acharya (London Business School and CEPR) | |
| Hyun Song Shin (Priceton University) | |
| Tanju Yorulmazer (Bank of England) | |
| 15.00 | Discussion by Haibin Zhu (Bank for International Settlements) |
| General discussion | |
| 15.30 | Liquidity and transparency in bank risk management (PDF, 23 pages, 150 kb) |
| Lev Ratnovski (Bank of England) | |
| 16.00 | Discussion by Lars Frisell (Sveriges Riksbank) |
| General discussion | |
| 16.30 | Coffee break |
| 17.00 | A new risk indicator and stress testing tool: a multifactor-nth-to-default CDS basket |
| Renzo G Avesani (International Monetary Fund) | |
| Antonio Garcia Pascual (International Monetary Fund) | |
| Jing Li (International Monetary Fund) | |
| 17.30 | Discussion by Benjamin Tabak (Central Bank of Brazil) |
| General discussion | |
| 18.00 | End of Thursday sessions |
| 19.00 | Reception and dinner |
| MB-Executive Dining Room and Terrace | |
| Friday 11 May | |
| 8.30 | Registration and coffee |
| 9.00 | Session 3: Information and regulation |
| Chair: Erlend Nier (Bank of England) | |
| 9.00 | Self-destroying prophecies? The endogeneity pitfall in using market signals as triggers for pompt corrective action (PDF, 29 pages, 307 kb) |
| Urs W Birchler (Swiss National Bank) | |
| Matteo Facchinetti (Swiss National Bank) | |
| 9.30 | Discussion by Joao Santos (Federal Reserve Bank of New York) |
| General discussion | |
| 10.00 | Stale information, shocks and volatility (paper on the ECB website) |
| Reint Gropp (European Central Bank, University of Frankfurt and ZEW) | |
| Arjan Kadereja (European Central Bank) | |
| 10.30 | Discussion by Diana Hancock (Board of Governors of the Federal Reserve System) |
| General discussion | |
| 11.00 | Coffee break |
| 11.30 | How do banks adjust their capital ratios? Evidence from Germany (PDF, 22 pages, 211 kb) |
| Christoph Memmel (Deutsche Bundesbank) | |
| Peter Raupach (Deutsche Bundesbank) | |
| 12.00 | Discussion by José-Luis Peydro-Alcalde (European Central Bank) |
| General discussion | |
| 12.30 | Lunch |
| 13.30 | Session 4: Regulatory policy and stress testing |
| Chair: Bent Vale (Central Bank of Norway) | |
| 13.30 | The effect of bank supervision on loan growh |
| Timothy J Curry (Federal Deposit Insurance Corporation) | |
| Gary S Fissel (Federal Deposit Insurance Corporation) | |
| Carlos D Ramirez (George Mason University) | |
| 14.00 | Discussion by Ivan Alves (European Central Bank) |
| General discussion | |
| 14.30 | Spoilt and lazy: the impact of state support on bank behaviour in the international loan market |
| Blaise Gadanecz (Bank for International Settlements) | |
| Kostas Tsatsaronis (Bank for International Settlements) | |
| Yener Altunbas (University of Wales) | |
| 15.00 | Discussion by Thomas Kick (Deutsche Bundesbank) |
| General discussion | |
| 15.30 | Coffee break |
| 16.00 | Loss coverage and stress testing mortgage portfolios: a non-parametric approach (PDF, 25 pages, 139 kb) |
| Adolfo Rodriguez (Bank of Spain) | |
| Carlos Trucharte (Bank of Spain) | |
| 16.30 | Discussion by Iman van Lelyveld (The Netherlands Bank) |
| General discussion | |
| 17.00 | Closing remarks by Myron L Kwast (Board of Governors of the Federal Reserve System and Co-Chairman of the Research Task Force) |
| 17.15 | End of workshop |
Workshop Organisers:
- Martin Birn (Basel Committee Secretariat)
- Jürg Blum (Swiss National Bank)
- Paul Kupiec (Federal Deposit Insurance Corporation)
- Iman P P van Lelyveld (The Netherlands Bank)
- Nancy Masschelein (National Bank of Belgium)
- Erlend Nier (Bank of England)
- Martin Summer (Austrian National Bank)
- Bent Vale (Central Bank of Normway)