About the workshop
A workshop hosted by the Basel Committee on Banking Supervision and De Nederlandsche Bank.
The Research Task Force (RTF) of the Basel Committee on Banking Supervision hosted a workshop on stress testing credit risk for banks at De Nederlandsche Bank in Amsterdam on 7th March 2008. Through the RTF, the Basel Committee seeks to encourage research on this important topic by researchers within central banks and supervisory agencies, as well as by academic researchers. Submissions should be limited to unpublished, recent work.
- Iman van Lelyveld (Netherlands Bank, Radboud University)
- Hao Zhou (Federal Reserve Board and MIT Sloan School of Management)
The topic of the conference is stress testing of infrequently traded credit risk. The keynote speech will be given by professor Darrell Duffie.
Researchers offering to present a paper are requested to send their paper to Neil Esho at the Basel Committee's Secretariat (neil.esho@bis.org). Submissions must be received by 9 December 2007. The accepted papers' authors will be notified by 21 January 2008. Complete versions of accepted papers are due by 15 February 2008.
Programme
Arnold Schilder, Executive Director, De Nederlandsche Bank
| Chair: Antonella Foglia (Banca d'Italia) |
|---|
A framework for quantifying systemic stability Piergiorgio Alessandri (Bank of England) Discussion by Antonella Foglia (Banca d'Italia) |
Crash testing German banks | Presentation Klaus Düllmann (Deutsche Bundesbank) |
Credit Risk Transfer and the Efficiency and Stability of the Financial System
Professor Darrell Duffie introduced by Myron Kwast
| Chair: Bjørne Dyre Syversten (Norges Bank) |
|---|
Monetary policy and bank distress: An integrated micro-macro approach Ferre De Graeve (Univeriteit Gent) |
Macro stress and worst case analysis of loan portfolios | presentation Thomas Breuer (Fachhochschule Vorarlberg) |
| Chair: Kostas Tsatsaronis (Bank for International Settlements) |
|---|
Recovery rates, default probabilities and the credit cycle | presentation Max Bruche (Centro de Estudios Monetarios y Financieros) |
Firm default and aggregate fluctuations Jesper Lindé (Sveriges Riksbank) |
Macroeconomic default modelling and stress testing | presentation Dietske Simons (De Nederlandsche Bank) |
| Chair: Muriel Tiesset (Banque de France) |
|---|
Modelling the distribution of credit losses with observable and latent factors Gabriel Jiménez (Bank of Spain) |
Common factors for frailty correlated default | presentation Siem Jan Koopman (VU University, Amsterdam) |