Expert Forum on Advanced Techniques on Stress Testing: Applications for Supervisors
May 2-3, 2006
IMF Headquarters, Meeting Hall A and B (3rd Floor)
Washington, D.C.
Washington, D.C.
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|---|
| This website contains papers and web links to papers that were considered at the Expert Forum on Advanced Techniques on Stress Testing: Applications for Supervisors Conference. The views expressed in these papers are those of the authors only, and the presence of them, or of links to them, on the IMF website does not imply that the IMF, its Executive Board, or its management endorses or shares the views expressed in the papers. |
PROGRAM
| Tuesday, May 2, 2006 | |
|---|---|
| 8:45 a.m. – 9:00 a.m. | Opening Remarks |
| Mr. Charles Enoch, Acting Director Monetary and Financial Systems Department |
|
| 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 |
| Session 2 | Approaches to Stress Testing Credit Risk |
| 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 |
| Session 3 | Stress Testing Market Risk |
| 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 |
| Wednesday, May 3, 2006 | |
| Session 4 | Liquidity and Contagion Risks |
| 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 |
| Session 5 | Specific Issues within Stress Test |
| 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 |
| Session 6 | Market Practices in Stress testing—Possible Lessons to Be Learned |
| 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 | |
Monetary and Financial Systems Department 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 Session 2 Approaches to Stress Testing Credit Risk 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 Session 3 Stress Testing Market Risk 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 Wednesday, May 3, 2006 Session 4 Liquidity and Contagion Risks 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 Session 5 Specific Issues within Stress Test 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 Session 6 Market Practices in Stress testing—Possible Lessons to Be Learned 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