About the workshop
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.
- 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)
Programme
| Opening Remarks by Univ.-Doz. Dr Josef Christl (Executive Director Economics and Financial Markets, Oesterreichische Nationalbank) |
| Chair: Bent Vale (Norges Bank) |
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Liquidity, Banking Regulation and the Macroeconomy Oriol Aspachs (London School of Economics) Discussion by Philipp Hartmann (European Central Bank) |
Market-to-book, Charter Value, and Bank Risk-Taking - A Recent Perspective Frederick Furlong (Federal Reserve Bank of San Francisco) Discussion by Stéphanie Stolz (Deutsche Bundesbank and Kiel Institute for World Economics) |
Credit cycles, credit risk, and prudential regulation Gabriel Jiménez (Banco de España) Discussion by Iman van Lelyveld (De Nederlandsche Bank) |
| Speech by Andreas Ittner (Director of Financial Institutions and Markets Section, Oesterreichische Nationalbank) |
| Chair: Myron Kwast (Board of Governors of the Federal Reserve System) |
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An Empirical Evaluation of Structural Credit Risk Models Nikola Tarashev (Bank for International Settlements) Discussion by Ricardo Schechtman (Central Bank of Brazil) |
Measuring Systematic Risk in Recoveries on Defaulted Debt: Firm-Level Ultimate LGDs Mark Carey (Board of Governors of the Federal Reserve System) Discussion by Klaus Dúllmann (Deutsche Bundesbank) |
Towards an Integrated Measurement of Credit Risk and Market Risk Thomas Breuer (FH Vorarlberg) Discussion by Dirk Tasche (Deutsche Bundesbank) |
| Chair: Urs Birchler (Swiss National Bank) |
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Do "too big to fail" expectations boost large bank issuer ratings? Bertrand Rime (Swiss National Bank) Discussion by João Santos (Federal Reserve Bank of New York) |
Bank Risk and Revenue Diversification: An Assessment of Using Equity Returns Kevin J Stiroh (Federal Reserve Bank of New York) Discussion by Nancy Sofie Masschelein (National Bank of Belgium) |
The Depositor behind the Discipline: A Micro-level Case Study of Hamilton Bank Andrew M Davenport (Federal Deposit Insurance Corporation) Discussion by Mark Levonian (Office of the Comptroller of the Currency) |
| Chair: Kostas Tsatsaronis (Bank for International Settlements) |
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Stress Testing Housing Loan Portfolios: A Regulatory Case Study Anthony Coleman (Australian Prudential Regulation Authority) Discussion by Tor Jacobson (Sveriges Riksbank) |
A Market Based Macro Stress Test for the Corporate Exposure of UK Banks Mathias Drehmann (Bank of England) Discussion by Kimmo Virolainen (Bank of Finland) |
Bank Risks, Risk Preferences and Lending Tomasz Chmielewski (National Bank of Poland) Discussion by Kjersti-Gro Lindquist (Norges Bank) |
| Closing remarks by Myron Kwast (Board of Governors of the Federal Reserve System and Co-Chairman of the Research Task Force) |