Stress Testing of Credit Risk Portfolios: The Link between Macro and Micro

A workshop hosted by the Basel Committee on Banking Supervision and De Nederlandsche Bank


Registration and coffee
9.30 Opening remarks by Arnold Schilder, Executive Director, De Nederlandsche Bank
Systemic stress
Chair: Antonella Foglia (Banca d'Italia)
9.40 A framework for quantifying systemic stability
Piergiorgio Alessandri (Bank of England)
Prasanna Gai (Bank of England)
Sujit Kapadia (Bank of England)
Nada Mora (Bank of England)
Claus Puhr (Oesterreichische Nationalbank)
10.00 Crash testing German banks   (presentation)
Klaus Düllmann (Deutsche Bundesbank)
Martin Erdelmeier (Deutsche Bundesbank)
10.20 Discussion by the chair
10.40 Coffee break
11.00 Keynote speech by Professor Darrell Duffie introduced by Myron Kwast
  "Credit Risk Transfer and the Efficiency and Stability of the Financial System"
12.00 Lunch
  Pass through and scenarios
Chair: Bjørne Dyre Syversten (Norges Bank)
13.15 Monetary policy and bank distress: An integrated micro-macro approach
Ferre De Graeve (Univeriteit Gent)
Thomas Kick (Deutsche Bundesbank)
Michael Koetter (University of Groningen)
13.35 Macro stress and worst case analysis of loan portfolios   (presentation)
Thomas Breuer (Fachhochschule Vorarlberg)
Martin Jandacka (Fachhochschule Vorarlberg)
Klaus Rheinberger (Fachhochschule Vorarlberg)
Martin Summer (Oesterreichische Nationalbank)
13.55 Discussion by the chair
(Macro) default
Chair: Kostas Tsatsaronis (Bank for International Settlements)
14.15 Recovery rates, default probabilities and the credit cycle   (presentation)
Max Bruche (Centro de Estudios Monetarios y Financieros)

Carlos Gonzalez-Aguado (Centro de Estudios Monetarios y Financieros)
14.35 Firm default and aggregate fluctuations
Jesper Lindé (Sveriges Riksbank)
Tor Jacobson (Sveriges Riksbank)
Rikard Nilsson (Svenska Handelsbanken)
Kasper Roszbach (Sveriges Riksbank)
14.55 Macroeconomic default modelling and stress testing   (presentation)
Dietske Simons (De Nederlandsche Bank)
Ferdinand Rolwes (De Nederlandsche Bank)
15.15 Discussion by the chair
15.35 Coffee break
Latent variables
Chair: Muriel Tiesset (Banque de France)
15.55 Modelling the distribution of credit losses with observable and latent factors
Gabriel Jiménez (Bank of Spain)
Javier Menc
ía (Bank of Spain)
16.15 Common factors for frailty correlated default   (presentation)
Siem Jan Koopman (VU University, Amsterdam)
André Lucas (VU University, Amsterdam)
Bernd Schwaab (Tinbergen Institute)
16.35 Discussion by the chair
16.55 Drinks