About the workshop
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
- Use of Market Information and Structural
- Other Banking Issues
Programme
| Urs W. Birchler, Chairman of the Basel Committee's Research Task Force |
| Chair: William Coen, Basel Committee Secretariat | |
|---|---|
| The relationship between risk and capital in Swiss commercial banks: a panel study | Robert Bichsel and Juerg Blum (Swiss National Bank) |
| Comments | Richard Kopcke (Federal Reserve Bank of Boston) |
| The internal ratings based approach for capital adequacy determination: empirical evidence from Sweden | Kenneth Carling, Tor Jacobson, Jesper Lindé Kasper Roszbach (Sveriges Riksbank) |
| Comments | Frank Heid (Deutsche Bundesbank) |
| The cyclical behaviour of optimal bank capital | Arturo Estrella (Federal Reserve Bank of New York) |
| Comments | Jesús Saurina (Banco de España) |
| Chair: Jack Reidhill, Federal Deposit Insurance Corporation | |
|---|---|
| How accurate are value-at-risk models at commercial banks? | Jeremy Berkowitz (University of California) James O'Brien (Federal Reserve Board) |
| Comments | Simone Manganelli (European Central Bank) |
| Benchmarking Deutsche Bundesbank's default risk model, the KMV private firm model and common financial ratios for German corporations | Stefan Blochwitz, Thilo Liebig (Deutsche Bundesbank) Mikael Nyberg (KMV, LLC) |
| Comments | Alan Cathcart (Financial Supervisory Authority - United Kingdom) |
| EL-equivalence in alternative credit models | Jon Frye (Federal Reserve Bank of Chicago) |
| Comments | Esa Jokivuolle (Bank of Finland) |
| 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 | Timothy J. Curry (Federal Deposit Insurance Corporation) Peter J. Elmer (Federal Deposit Insurance Corporation) Gary Fissel (Federal Deposit Insurance Corporation) |
| Comments | Akira Ieda (Bank of Japan) |
| Subordinated debt and the quality of market discipline in banking | Mark Levonian (Federal Reserve Bank of San Francisco) |
| Comments | Gerald Hanweck (Federal Deposit Insurance Corporation) |
| Of Moody's & Merton: a structural model of bond rating transitions | Michael B. Gordy (Board of Governors of the Federal Reserve System) Erik A. Heitfield (Board of Governors of the Federal Reserve System) |
| Comments | Vichett Oung (Commission Bancaire) |
| Equity and bond market signals as leading indicators of bank fragility in Europe | Reint Gropp, Jukka Vesala and Giuseppe Vulpes (European Central Bank) |
| Comments | Juerg Blum (Swiss National Bank) |
| Chair: Iman P. P. van Lelyveld, De Nederlandsche Bank N. V. | |
|---|---|
| Endogenous product differentiation in credit markets: what do borrowers pay for? | Moshe Kim (University of Haifa), Eirik Gaard Kristiansen and Bent Vale (Norges Bank) |
| Comments | Henri Pagés (Banque de France) |
| Is there Market Discipline in the Swiss Banking Sector? | Urs W. Birchler and A. Maechler (Swiss National Bank) |
| Comments | Hendrik Nel (South African Reserve Bank) |