Tuesday, May 2, 2006 |
8:45 a.m. – 9:00 a.m. |
Opening Remarks |
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Mr. Charles Enoch, Acting Director
Monetary and Financial Systems Department |
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Session 1 |
Why and How Stress Tests Are Used |
9:00 a.m. – 9:30 a.m. |
Stress Testing: The FSAP Experience
Mr. Tomás Jose T. Balino, International Monetary Fund |
9:30 a.m. – 10:00 a.m. |
Stress Testing at Major Financial Institutions: Survey, Results, and Practice
Ms. Yuko Kawai, Bank of Japan |
10:00 a.m. – 10:30 a.m. |
Coffee Break |
10:30 a.m. – 11:00 a.m. |
Scenario Selection for Financial Stability Stress Tests
Mr. Mathias Drehmann, Bank of England |
11:00 a.m. – 11:30 a.m. |
The Exposure of Swiss Banks to Macroeconomic Shocks
Mr. Hansjoerg Lehmann, Swiss National Bank |
11:30 a.m. – 12:00 p.m. |
Open Discussion |
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Session 2 |
Approaches to Stress Testing Credit Risk |
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Chair: Mr. Thilo Liebig, Deutsche Bundesbank |
12:00 p.m. – 12:30 p.m. |
Stress Testing Credit Risk: The French Experience
Mr. Olivier Jaudoin, Banque de France |
12:30 p.m. – 1:00 p.m. |
Credit Risk Stress Testing for the Mexican Banking System
Mr. Javier Márquez Diez Canedo, Bank of Mexico |
1:00 p.m. – 2:30 p.m. |
Lunch |
2:30 p.m. – 3:00 p.m. |
Approaches to Stress Testing Credit Risk: Experience gained on Spanish FSAP
Messrs. Jesús Saurina and Carlos Trucharte, Bank of Spain |
3:00 p.m. – 3:30 p.m. |
Open Discussion |
3:30 – 3:45 p.m. |
Coffee Break |
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Session 3 |
Stress Testing Market Risk |
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Chair: Mr. Shaji Chandrasenan, Monetary Authority of Singapore |
3:45 p.m. – 4:15 p.m. |
Recent Development in Stress Testing Market Risk
Mr. Gerald Krenn, Austrian National Bank |
4:15 p.m. – 4:45 p.m. |
Stress Testing Trading Desks
Mr. Michael Sullivan, Office of the Comptroller of the Currency |
4:45 p.m. – 5:00 p.m. |
Group Photo
Coffee Break |
5:00 p.m. – 5:30 p.m. |
The Interest Rate Risk of Mortgage Loan Portfolios of Banks—A case study of the Hong Kong market
Mr. Jim Wong, Hong Kong Monetary Authority |
5:30 p.m. – 6:00 p.m. |
Open Discussion |
6:30 p.m. – 8:00 p.m. |
>Reception
Hosted by: Mr. Charles Enoch, Acting Director
Monetary and Financial Systems Department |
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Wednesday, May 3, 2006 |
Session 4 |
Liquidity and Contagion Risks |
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Chair: Mr. Errol Kruger, South African Reserve Bank |
8:30 a.m. – 9:00 a.m. |
Stress Testing Liquidity: A National Approach
Mr. Gilneu Francisco Astolfi Vivan, Central Bank of Brazil |
9:00 a.m. – 9:30 a.m. |
Cross Border Issues in Stress Testing
Mr. Jan Willem van den End, De Nederlandsche Bank |
9:30 a.m. – 10:00 a.m. |
Contagion in Payment and Settlement Systems
Mr. Matti Hellqvist, Bank of Finland |
10:00 a.m. – 10:30 a.m. |
Open discussion |
10:30 a.m. – 11:00 a.m. |
Coffee Break |
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Session 5 |
Specific Issues within Stress Test |
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Chair: Mr. John Fell, European Central Bank |
11:00 a.m. – 11:30 a.m. |
Stress Testing: Insurance Companies in Canada
Mr. August C. Chow, Office of the Superintendent of Financial Institutions, Canada |
11:30 a.m. – 12:00 p.m. |
Stress Testing Conglomerates
Mr. Mike Carhill, Office of the Comptroller of the Currency |
12:00 p.m. – 12:30 p.m. |
Stress Testing-Second Round Effects
Mr. Keith Hall, Reserve Bank of Australia |
12:30 p.m. – 1:00 p.m. |
Open Discussion |
1:00 p.m. – 2:30 p.m. |
Lunch |
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Session 6 |
Market Practices in Stress testing—Possible Lessons to Be Learned |
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Chair: Mr. Paul Kupiec, Federal Deposit Insurance Corporation |
2:30 p.m. – 3:00 p.m. |
Stress Testing Credit Risk
Mr. Joe Henbest, Algorithmics |
3:00 p.m. – 3:30 p.m. |
Counterparty Risk Management of Derivatives
Mr. Peter E. Haagensen, Deutsche Bank |
3:30 p.m. – 4:00 p.m. |
Coffee Break |
4:00 p.m. – 4:30 p.m. |
Stress Testing Operational Risk
Mr. Ali Samad-Khan, OpRisk Advisory LLC |
4:30 p.m. – 5:00 p.m. |
Open Discussion |
5:00 p.m. – 5:30 p.m. |
Business Session and Concluding Remarks
Mr. Jonathan Fiechter, Deputy Director,
Monetary and Financial Systems Department |
Program Committee: David Marston and Kal Wajid |