IMF and London School of Economics Symposium

“Macroprudential Stress Test and Policies: A Framework”

December 15–16, 2016

The International Monetary Fund will host the IMF/LSE Symposium: Macroprudential Stress Test and Policies: A Framework in Washington D.C. on December 15-16, 2016.

Stress testing has become firmly embedded in the postcrisis macroprudential agenda of major financial centers around the world. The aim of this project is threefold: (i) present state-of-the-art macroprudential stress test methodologies discussing modeling and implementation challenges; (ii) provide a roadmap for future research and practical implementations in stress testing and; (iii) guide authorities on the use of MaPSTs to support macroprudential tool calibration and policies. 

Agenda

Thursday, December 15, 2016 - Day One
8:30am
Registration (IMF HQ2 Conference Hall 1)
9:00am

Opening Remarks

Tao Zhang, Deputy Managing Director,IMF
Read the speech.  
9:15am

Session One: Report from MCM-LSE Working Group

Chair:
Jim Morsink, IMF, Deputy Director, Monetary and Capital Markets Department
Presenters:
Jon Danielsson (LSE) and Miguel Segoviano (IMF)
View the presentation
9:45am

Session Two: Objectives of Macro-Prudential Stress Testing

The session will highlight the usefulness of Macroprudential Stress Test (MaPST) from different angles. These will include objectives of MaPST and how it could be useful to support risk measurement and management practices. The session will identify gaps in the current panoply of commonly used stress tests and identify areas for enhancing the effectiveness of MaPST frameworks.

Chair:

Robert Macrae, London School of Economics
View the presentation

Panelists:

Jerome Henry, European Central Bank
View the presentation
Jose Berrospide, Federal Reserve Board
10:30am
Coffee Break
11:00am

Session Three: Amplification: Conceptual and Empirical Frameworks

The session will look into different modelling approaches for amplification mechanisms. The first part of the session will focus on conceptual frameworks, while the second part will discuss implementation challenges such as data and modelling constraints, and issues related to changing nature of contagion (nonlinear and time changing). The session will explore feasible ways to overcome these challenges and the sequence of modelling and data development that policymakers could follow.

Chair:

Ron Anderson, London School of Economics

Panelists:

Rama Cont, Imperial Colleage: View the presentation
Itay Goldstein, University of Pennsylvania: View the presentation
Jon Danielsson, London School of Economics: View the presentation
Adrian Varley, Central Bank of Ireland
12:30pm
Lunch
2:00pm

Session Four: Implementing Macro-Prudential Stress Testing

This session will present frameworks being developed to quantify systemic risk amplification mechanisms and how those can be embedded them in MaPST.

Chair:

Martin Cihak, Advisor, Monetary and Capital Markets Department, IMF

Panelists:

Hitoshi Mio, Bank of Japan
Amar Radia, Bank of England
Miguel Segoviano, IMF: View the presentation
3:30pm
Coffee Break
4:00pm

Session Five: Linking Macro-Prudential Stress Testing to Marcoprudential Policy

The session will discuss how to calibrate macroprudential policy tools based on MaPST and explore the usefulness of quantitative metrics and qualitative information produced by MaPST. The focus will be on how calibration can be done in practical terms and what methodological challenges might be faced and how to overcome them.

Chair:

Jon Danielsson, London School of Economics
Panelists:
Deepak Mohanty, Reserve Bank of India: View the presentation
Alan Elizondo, Banco de México: View the presentation
Pierluigi Bologna, Banca d'Italia: View the presentation
5:30pm
Cocktail Reception (IMF HQ2 Atrium)
Friday, December 16, 2016 - Day Two
9:00am

Keynote Address by Simon Johnson

Chair:Ratna Sahay, IMF
10:00am

Session Six: Institutional Frameworks, Governance, and Communication

The session will discuss institutional factors, governance, and accountability safeguards to ensure the integrity of MaPST. What institutional frameworks might work better to embed MaPST in policy decision making? What should be the governance and accountability structures? How to assess the benefits and costs of a MaPST? How best to communicate information produced by MaPST?

Chair:

Udabir Das, IMF

Panelists:

Sergio Nicoletti-Altimari (ECB) 

Chris Goodspeed (HMT, UK)

Willem Heeringa (Dutch National Bank),

11:00am
Coffee Break
 11:30am

Session Seven: Fitting Macro-Prudential Stress Testing into the Broader Policy Framework

The discussion will explore complementarities, trade-offs, and the balancing between MaPST and micro prudential stress test (MiPST). Some of the questions will include: how to ensure overall consistency when some instruments are calibrated with MiPST and some with MaPST? How do you weigh the information content of MiPST and MaPST if these approaches signal calibration in different directions? Additionally, when calibrating MaPP instruments what interactions of MaPP with other policies (monetary and fiscal, capital flow management policies) should be considered?

Chair:

Dong He, IMF

Panelists:

Alexander Brazier (BoE) 

Cho Hoi Hui (HKMA):
View the presentation
Martin Cihak, Advisor, Monetary and Capital Markets Department, IMF
View the presentation 

 

Benjamin Friedrich (EBA)
 12:30pm  Session Eight: Where do We Go from Here?

The concluding session will be a roundtable feedback session. What did the participants gather from the discussions, and what should be the work agenda going forward? Concrete outcomes will be used to refine the Symposium background paper.

Chair: 

Malcolm Knight, London School of Econommics

Panelists:  

Sergio Nicoletti-Altimari (ECB) 

Alexander Brazier (BoE) 

Deepak Mohanti (RBI),

Alan Elizondo (Banco de Mexico) 

Cho Hoi Hui (HKMA) 

Hitoshi Mio (BoJ)